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

DOI10.1007/S11859-011-0737-8MaRDI QIDQ2887503zbMATHOpenAlexFDO

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

zbMATH Keywords

interestdividend paymentcompound Poisson risk modelconstant dividend barrier

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• scientific article; zbMATH DE number 3042410 (Why is no real title available?)
• Absolute ruin in the compound Poisson risk model with constant dividend barrier
• Martingales and insurance risk
• On the Time Value of Ruin
• On the time value of absolute ruin with debit interest
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Ruin estimates under interest force
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The effect of interest on negative surplus

Cited in

(16)

• 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 insurance risk model with a threshold dividend strategy
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier
• The time value of absolute ruin for a general risk model
• The absolute ruin risk model with constant interest investment and linear threshold dividend strategy
• On the perturbed compound Poisson risk model under absolute ruin with debit interest and a constant dividend barrier
• scientific article; zbMATH DE number 5762675 (Why is no real title available?)
• Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves
• Absolute ruin in the compound Poisson risk model with constant dividend barrier
• Asymptotic Theory for a Risk Process with a High Dividend Barrier
• Asymptotic analysis of a risk process with high dividend barrier
• Absolute ruin for a risk model with credit and debit interest under a threshold dividend strategy
• The expected time to ruin in a risk process with constant barrier via martingales
• On the time value of absolute ruin for a multi-layer compound Poisson model under interest force
• Two-sided exit problems in the ordered risk model

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