On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times

DOI10.1016/J.INSMATHECO.2005.05.004MaRDI QIDQ2581783zbMATH OpenOpenAlexFDO

Authors Maite Mármol, Hansjörg Albrecher, M. Mercè Claramunt

Publication date 10 January 2006

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2005.05.004

zbMATH Keywords

Dividend barrierMoment-generating functionPresent value of dividend paymentsRenewal risk model

Mathematics Subject Classification ID

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Cites work

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• The Time Value of Ruin in a Sparre Andersen Model
• “Optimal Dividends: Analysis with Brownian Motion,” Ana C. Cebrián, Hans U. Gerber and Elias S.W. Shiu, January 2004

Cited in

(52)

• The distribution of total dividend payments in a Sparre Andersen model
• Moments of discounted dividend payments in a risk model with randomized dividend-decision times
• Optimal dividend and investment problems under Sparre Andersen model
• The compound binomial model with a constant dividend barrier and periodically paid dividends
• Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves
• Ruin probability and time of ruin with a proportional reinsurance threshold strategy
• Dividend-reinsurance strategy in the Sparre Andersen model
• The phase-type risk model perturbed by diffusion under a threshold dividend strategy
• The ruin time under the Sparre Andersen dual model
• On the classical risk model with credit and debit interests under absolute ruin
• Maximum surplus and \(R_n\) class of distributions with an application to dividends
• Optimal singular dividend problem under the Sparre Andersen model
• The absolute ruin insurance risk model with a threshold dividend strategy
• On the occupation times in a delayed Sparre Andersen risk model with exponential claims
• The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems
• Expected discounted dividends in a discrete semi-Markov risk model
• The perturbed Sparre Andersen model with interest and a threshold dividend strategy
• The expected discounted penalty function in the generalized Erlang(n) risk model with two-sided jumps and a constant dividend barrier
• Ruin problems in the generalized Erlang(n) risk model
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• Analysis of a threshold dividend strategy for a MAP risk model
• On the analysis of a multi-threshold Markovian risk model
• The Compound Poisson Risk Model with Interest and a Threshold Strategy
• On a dual model with barrier strategy
• Drawdown analysis for the renewal insurance risk process
• Further developments in the Erlang(\textit{n}) risk process
• The maximum surplus before ruin for dependent risk models through Farlie-Gumbel-Morgenstern copula
• Dividend payments in the dual model with Erlang (n) distributed observation times
• Review of statistical actuarial risk modelling
• A generalized Erlang(n) risk model with a hybrid dividend strategy
• A risk model with multilayer dividend strategy
• Moments of the dividend payments and related problems in a Markov-modulated risk model
• Recursive calculation of the dividend moments in a multi-threshold risk model
• Moments of discounted dividends for a threshold strategy in the compound Poisson risk model
• Strategies for dividend distribution: a review
• Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes
• The Erlang(n) risk model with two-sided jumps and a constant dividend barrier
• scientific article; zbMATH DE number 7408837 (Why is no real title available?)
• Dividend barrier strategies in a renewal risk model with generalized Erlang interarrival times
• Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates
• On a Joint Distribution for the Classical Risk Process with a Stochastic Return on Investments
• Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
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• The compound Poisson risk model with dependence under a multi-layer dividend strategy
• On a compound Poisson risk model with dependence and in the presence of a constant dividend barrier
• 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 analysis of a risk process with high dividend barrier
• Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy
• Constant dividend barrier in a risk model with interclaim-dependent claim sizes
• The perturbed Sparre Andersen model with a threshold dividend strategy
• A risk model with paying dividends and random environment

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