On a class of renewal risk models with a constant dividend barrier

DOI10.1016/j.insmatheco.2004.08.004zbMath1122.91345OpenAlexW2039542099MaRDI QIDQ2485536

Yanyan Li

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.08.004

zbMATH Keywords

Sparre Andersen risk processIntegro-differential equationDeficit at ruinTime of ruinGeneralized Erlang(n) distributionSurplus before ruin

Mathematics Subject Classification ID

Related Items (65)

Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest ⋮ On the occupation times in a delayed Sparre Andersen risk model with exponential claims ⋮ Ruin problems in the generalized Erlang(\(n\)) risk model ⋮ A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy ⋮ The Gerber-Shiu penalty functions for two classes of renewal risk processes ⋮ Dividend barrier strategy: proceed with caution ⋮ On the compound Poisson risk model with dependence and a threshold dividend strategy ⋮ Periodic threshold-type dividend strategy in the compound Poisson risk model ⋮ The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier ⋮ On the expectation of total discounted operating costs up to default and its applications ⋮ The Erlang(n) risk model with two-sided jumps and a constant dividend barrier ⋮ The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier ⋮ Drawdown analysis for the renewal insurance risk process ⋮ Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier ⋮ Infinite series expansion of some finite-time dividend and ruin related functions ⋮ Moments of discounted dividend payments in a risk model with randomized dividend-decision times ⋮ Dividend-reinsurance strategy in the Sparre Andersen model ⋮ Nonparametric estimation of some dividend problems in the perturbed compound Poisson model ⋮ The risk model with stochastic premiums, dependence and a threshold dividend strategy ⋮ Optimal dividend and investment problems under Sparre Andersen model ⋮ On a risk model with randomized dividend-decision times ⋮ The compound Pascal model with dividends paid under random interest ⋮ The maximum surplus distribution before ruin in an Erlang(\(n\)) risk process perturbed by diffusion ⋮ The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier ⋮ Asymptotics in a time-dependent renewal risk model with stochastic return ⋮ On the total operating costs up to default in a renewal risk model ⋮ Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims ⋮ Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence ⋮ Expected present value of total dividends in a delayed claims risk model under stochastic interest rates ⋮ Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy ⋮ Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula ⋮ Asymptotic analysis of a risk process with high dividend barrier ⋮ Constant dividend barrier in a risk model with interclaim-dependent claim sizes ⋮ The perturbed Sparre Andersen model with a threshold dividend strategy ⋮ On a Classical Risk Model with a Constant Dividend Barrier ⋮ The Time Value of Ruin in a Sparre Andersen Model ⋮ Risk- and value-based management for non-life insurers under solvency constraints ⋮ Number of claims and ruin time for a refracted risk process ⋮ The compound binomial model with a constant dividend barrier and periodically paid dividends ⋮ The idle period of the finite \(G/M/1\) queue with an interpretation in risk theory ⋮ A risk model with varying premiums: its risk management implications ⋮ The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems ⋮ A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium ⋮ The compound Poisson risk model with a threshold dividend strategy ⋮ Analysis of a threshold dividend strategy for a MAP risk model ⋮ On the analysis of a multi-threshold Markovian risk model ⋮ Expected discounted dividends in a discrete semi-Markov risk model ⋮ The perturbed Sparre Andersen model with interest and a threshold dividend strategy ⋮ Maximum surplus and \(R_n\) class of distributions with an application to dividends ⋮ The compound Poisson process perturbed by a diffusion with a threshold dividend strategy ⋮ Review of statistical actuarial risk modelling ⋮ Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates ⋮ Optimal singular dividend problem under the Sparre Andersen model ⋮ The Markovian regime-switching risk model with a threshold dividend strategy ⋮ The Compound Poisson Risk Model with Interest and a Threshold Strategy ⋮ On the renewal risk model under a threshold strategy ⋮ The dividend function in the jump-diffusion dual model with barrier dividend strategy ⋮ On optimal dividends: from reflection to refraction ⋮ The risk model with stochastic premiums and a multi-layer dividend strategy ⋮ On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times ⋮ A modified insurance risk process with uncertainty ⋮ Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model ⋮ The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion ⋮ Recursive Calculation of the Dividend Moments in a Multi-threshold Risk Model ⋮ Strategies for Dividend Distribution: A Review

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Risk theory with a nonlinear dividend barrier
• On ruin for the Erlang \((n)\) risk process
• Ruin probabilities for Erlang (2) risk processes
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• On the time to ruin for Erlang(2) risk processes.
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.
• On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes.
• On the discounted distribution functions for the Erlang(2) risk process
• Ruin Problems for Phase-Type(2) Risk Processes
• On the probability of ruin in the presence of a linear dividend barrier
• Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
• A laplace transform representation in a class of renewal queueing and risk processes
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• The Time Value of Ruin in a Sparre Andersen Model
• On the Time Value of Ruin

This page was built for publication: On a class of renewal risk models with a constant dividend barrier