The perturbed Sparre Andersen model with interest and a threshold dividend strategy

DOI10.1007/s11009-013-9332-0zbMath1334.60127OpenAlexW2022654464MaRDI QIDQ2516383

Wei Wang

Publication date: 31 July 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-013-9332-0

zbMATH Keywords

diffusionintegro-differential equationsmoment generating functionGerber-Shiu functionthreshold dividend strategyperturbed Sparre Andersen model

Mathematics Subject Classification ID

Related Items (4)

Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy ⋮ The risk model with stochastic premiums, dependence and a threshold dividend strategy ⋮ The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier ⋮ The risk model with stochastic premiums and a multi-layer dividend strategy

Cites Work

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