The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process

DOI10.1007/S10114-011-9427-XzbMath1268.91085OpenAlexW1992660045MaRDI QIDQ1942188

Chun-sheng Zhang, Shan-shan Wang

Publication date: 18 March 2013

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-011-9427-x

zbMATH Keywords

diffusionintegro-differential equationSparre Andersen risk modelbarrier dividend strategyexpected present value of dividendsmaximum surplus before ruinphase-type inter-claim times

Mathematics Subject Classification ID

Gaussian processes (60G15) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (2)

On a perturbed MAP risk model under a threshold dividend strategy ⋮ The maximum surplus before ruin for two classes of perturbed risk model

Cites Work

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