On a risk model with randomized dividend-decision times

DOI10.3934/jimo.2014.10.1041zbMath1282.91164OpenAlexW2324827899MaRDI QIDQ2438420

Zhimin Zhang

Publication date: 11 March 2014

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2014.10.1041

zbMATH Keywords

integral equationErlangexponentialGerber-Shiu functiondividend-decision timeperturbed compound Poisson risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (18)

The Markov additive risk process under an Erlangized dividend barrier strategy ⋮ Periodic threshold-type dividend strategy in the compound Poisson risk model ⋮ A perturbed risk model with constant interest and periodic barrier dividend strategy ⋮ Lévy insurance risk process with Poissonian taxation ⋮ On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy ⋮ Moments of discounted dividend payments in a risk model with randomized dividend-decision times ⋮ Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times ⋮ Ruin-related problems in the dual risk model under two different randomized observations ⋮ A note on a Lévy insurance risk model under periodic dividend decisions ⋮ Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin ⋮ The compound Poisson risk model under a mixed dividend strategy ⋮ Finite-time dividend problems in a Lévy risk model under periodic observation ⋮ ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS ⋮ On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions ⋮ Poissonian potential measures for Lévy risk models ⋮ On a discrete risk model with delayed claims and a randomized dividend strategy ⋮ Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation ⋮ Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs

Cites Work

• On ruin for the Erlang \((n)\) risk process
• The compound Poisson risk model with multiple thresholds
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
• On a class of renewal risk models with a constant dividend barrier
• Introductory lectures on fluctuations of Lévy processes with applications.
• The compound Poisson risk model with a threshold dividend strategy
• Randomized observation periods for the compound Poisson risk model: the discounted penalty function
• Randomized observation periods for the compound Poisson risk model: Dividends
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• Optimal Dividends
• On the Time Value of Ruin

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