On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy

DOI10.1080/03610926.2015.1030424zbMath1360.62505OpenAlexW2322835675MaRDI QIDQ2979967

Jie Hua Xie, Wei Zou

Publication date: 27 April 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1030424

zbMATH Keywords

dependencemulti-layer dividend strategycompound Poisson risk modelexpected discounted penalty functionFarlie-Gumbel-Morgenstern copula

Mathematics Subject Classification ID

Related Items (7)

On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates ⋮ On the dividends of the risk model with Markovian barrier ⋮ The Erlang(n) risk model with two-sided jumps and a constant dividend barrier ⋮ On a discrete interaction risk model with delayed claims and randomized dividends ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ A markov-modulated risk model with transaction costs and threshold dividend strategy ⋮ The risk model with stochastic premiums and a multi-layer dividend strategy

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• On the Time Value of Ruin

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