On the threshold dividend strategy for a generalized jump-diffusion risk model

DOI10.1016/j.insmatheco.2010.11.006zbMath1218.91072OpenAlexW3125702793MaRDI QIDQ2276238

Yichun Chi, X. Sheldon Lin

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.11.006

zbMATH Keywords

Wiener-Hopf factorizationexpected discounted penalty functionthreshold dividend strategyjump-diffusion risk model

Mathematics Subject Classification ID

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

Related Items (18)

On a dual risk model perturbed by diffusion with dividend threshold ⋮ Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend ⋮ On the dual risk model with Parisian implementation delays under a mixed dividend strategy ⋮ Lévy risk model with two-sided jumps and a barrier dividend strategy ⋮ Ruin-related problems in the dual risk model under two different randomized observations ⋮ The risk model with stochastic premiums, dependence and a threshold dividend strategy ⋮ On a dual model with barrier strategy ⋮ Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy ⋮ The first passage time problem for mixed-exponential jump processes with applications in insurance and finance ⋮ The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier ⋮ Exit problems for jump processes having double-sided jumps with rational Laplace transforms ⋮ On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence ⋮ Fluctuation identities with continuous monitoring and their application to the pricing of barrier options ⋮ Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model ⋮ The exit time and the dividend value function for one-dimensional diffusion processes ⋮ The risk model with stochastic premiums and a multi-layer dividend strategy ⋮ A note on Lévy risk model with two-sided phase-type jumps ⋮ First passage probabilities of one-dimensional diffusion processes

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