The absolute ruin insurance risk model with a threshold dividend strategy

DOI10.3390/SYM10090377MaRDI QIDQ2333751zbMATHOpenAlexFDO

Authors Wenguang Yu, Yujuan Huang, Chaoran Cui

Publication date 13 November 2019

Published in Symmetry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3390/sym10090377

zbMATH Keywords

integro-differential equationsmoment generating functionthreshold dividend strategyabsolute ruindebit interest

Mathematics Subject Classification ID

Integro-partial differential equations (45K05)

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Cites work

• scientific article; zbMATH DE number 3141417 (Why is no real title available?)
• scientific article; zbMATH DE number 51897 (Why is no real title available?)
• Absolute ruin problems for the risk processes with interest and a constant dividend barrier
• Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves
• Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
• Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model
• Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns
• Asymptotics for the infinite-time absolute ruin probabilities in time-dependent renewal risk models
• Central limit theorem for functional of jump Markov processes
• Dividend payments in the classical risk model under absolute ruin with debit interest
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
• Infinite-time absolute ruin in dependent renewal risk models with constant force of interest
• Minimizing the risk of absolute ruin under a diffusion approximation model with reinsurance and investment
• Moments of the dividend payments and related problems in a Markov-modulated risk model
• On absolute ruin minimization under a diffusion approximation model
• On the classical risk model with credit and debit interests under absolute ruin
• On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• On the expected discounted penalty function at ruin of a surplus process with interest.
• On the time value of absolute ruin with debit interest
• Optimal dividend control for a generalized risk model with investment incomes and debit interest
• Optimal time-consistent investment and reinsurance policies for mean-variance insurers
• Ruin in the perturbed compound Poisson risk process under interest force
• Ruin theory with stochastic return on investments
• Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
• Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
• Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments

Cited in

(13)

• On the dual risk model with Parisian implementation delays under a mixed dividend strategy
• The properties of generalized collision branching processes
• On a discrete interaction risk model with delayed claims and randomized dividends
• Partially observed nonzero-sum differential game of BSDEs with delay and applications
• Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend
• The absolute ruin risk model with constant interest investment and linear threshold dividend strategy
• Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income
• Ruin-related problems in the dual risk model under two different randomized observations
• Absolute ruin for a risk model with credit and debit interest under a threshold dividend strategy
• Optimal reinsurance-investment problem under a CEV model: stochastic differential game formulation
• Ruin problems of multidimensional risk models under constant interest rates and dependent risks with heavy tails
• Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
• Optimal investment policy for insurers under the constant elasticity of variance model with a correlated random risk process

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