A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy

DOI10.1016/J.AMC.2008.08.029MaRDI QIDQ2378787zbMATH OpenOpenAlexFDO

Authors Heli Gao, Chuancun Yin

Publication date 14 January 2009

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2008.08.029

zbMATH Keywords

discounted dividend paymentsgeneralized Erlang\((n)\)-distributiongeometric Brownian motionGerber-Shiu functionperturbed risk process

Mathematics Subject Classification ID

Brownian motion (60J65)

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Cites work

• A Diffusion Perturbed Risk Process with Stochastic Return on Investments
• Distributions for the risk process with a stochastic return on investments.
• In the insurance business risky investments are dangerous
• On a class of renewal risk models with a constant dividend barrier
• On a Classical Risk Model with a Constant Dividend Barrier
• On optimal dividend strategies in the compound Poisson model
• On optimal dividends: from reflection to refraction
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Ruin in the perturbed compound Poisson risk process under interest force
• Ruin probabilities and penalty functions with stochastic rates of interest
• Ruin theory with stochastic return on investments
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier

Cited in

(8)

• Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
• Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy
• An extension of Paulsen-Gjessing's risk model with stochastic return on investments
• On a mean reverting dividend strategy with Brownian motion
• The perturbed Sparre Andersen model with interest and a threshold dividend strategy
• The dividends problems of ruin in a generalized Erlang(n) risk process perturbed by diffusion with a constant interest
• The perturbed compound Poisson risk model with proportional investment
• Ruin probability in Sparre Andersen risk model with claim inter-arrival times distributed as Erlang

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