The phase-type risk model perturbed by diffusion under a threshold dividend strategy

DOI10.1007/s10255-013-0200-zzbMath1266.91035OpenAlexW1969380685MaRDI QIDQ1945987

Zhou-Jun Yang, Wu-Yuan Jiang

Publication date: 17 April 2013

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

Full work available at URL: https://doi.org/10.1007/s10255-013-0200-z

zbMATH Keywords

diffusionphase-type distributionintegro-differential equationthreshold dividend strategydividend paymentsrational family

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Ruin probabilities for the phase-type dual model perturbed by diffusion, Unnamed Item

Cites Work

• On the discounted penalty function in a Markov-dependent risk model
• The Gerber-Shiu penalty functions for two classes of renewal risk processes
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
• The perturbed Sparre Andersen model with a threshold dividend strategy
• The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
• Controlled diffusion models for optimal dividend pay-out
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The compound Poisson risk model with a threshold dividend strategy
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• Some Optimal Dividends Problems
• Unnamed Item
• Unnamed Item