Absolute ruin problems for the risk processes with interest and a constant dividend barrier

DOI10.1007/S11859-011-0737-8zbMATH Open1249.91062OpenAlexW1985727229MaRDI QIDQ2887503FDOQ2887503

Authors: Haili Yuan, Yijun Hu, Qianqing Qin 

Publication date: 1 June 2012

Published in: Wuhan University Journal of Natural Sciences (WUJNS) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11859-011-0737-8

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zbMATH Keywords

interestdividend paymentcompound Poisson risk modelconstant dividend barrier

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• On the Time Value of Ruin
• Title not available (Why is that?)
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Ruin estimates under interest force
• On the time value of absolute ruin with debit interest
• Martingales and insurance risk
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• The effect of interest on negative surplus
• Absolute ruin in the compound Poisson risk model with constant dividend barrier

Cited In (14)

• The absolute ruin insurance risk model with a threshold dividend strategy
• Title not available (Why is that?)
• The expected time to ruin in a risk process with constant barrier via martingales
• Asymptotic Theory for a Risk Process with a High Dividend Barrier
• The time value of absolute ruin for a general risk model
• Absolute ruin in the compound Poisson risk model with constant dividend barrier
• On the perturbed compound Poisson risk model under absolute ruin with debit interest and a constant dividend barrier
• Absolute ruin for a risk model with credit and debit interest under a threshold dividend strategy
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier
• On the expected time to ruin and the expected dividends when dividends are paid while the surplus is above a constant barrier
• Finite-time dividend-ruin models
• The absolute ruin risk model with constant interest investment and linear threshold dividend strategy
• Asymptotic analysis of a risk process with high dividend barrier
• On the time value of absolute ruin for a multi-layer compound Poisson model under interest force

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