Complete monotonicity of the probability of ruin and de Finetti's dividend problem

DOI10.1007/s11424-012-9042-7zbMath1259.91072MaRDI QIDQ1761396

Hua Dong, Chuan-Cun Yin

Publication date: 15 November 2012

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-012-9042-7

zbMATH Keywords

log-convexity; classical risk model; optimal dividend problem; complete monotonicity; perturbed classical risk model; Barrier strategy

Mathematics Subject Classification ID

93E03: Stochastic systems in control theory (general)

91B69: Heterogeneous agent models

Related Items

Complete monotonicity of some functions involving k-digamma function with application, Some monotonicity properties and inequalities for the generalized digamma and polygamma functions, Monotonicity, concavity, and inequalities related to the generalized digamma function, Complete monotonicity and inequalities related to generalized \(k\)-gamma and \(k\)-polygamma functions, Complete monotonicity related to the \(k\)-polygamma functions with applications, Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model, Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income

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