On the compound Poisson risk model with dependence and a threshold dividend strategy
DOI10.1016/j.spl.2013.05.008zbMath1283.91089OpenAlexW2009291869MaRDI QIDQ2637365
Chun-sheng Zhang, Peng Liu, Yafeng Shi
Publication date: 11 February 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2013.05.008
integro-differential equationGerber-Shiu functionthreshold strategycompound Poisson risk modelFarlie-Gumbel-Morgenstern copulaexpected discounted dividend payments
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
Related Items (7)
Cites Work
- Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
- A ruin model with dependence between claim sizes and claim intervals
- Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy
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- A renewal jump-diffusion process with threshold dividend strategy
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- On a class of renewal risk models with a constant dividend barrier
- The compound Poisson risk model with a threshold dividend strategy
- Analysis of ruin measures for the classical compound Poisson risk model with dependence
- On a risk model with dependence between interclaim arrivals and claim sizes
- On Optimal Dividend Strategies In The Compound Poisson Model
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