Analysis of the Compound Poisson Surplus Model with Liquid Reserves, Interest and Dividends

DOI10.2143/AST.39.1.2038063zbMath1205.91079OpenAlexW2019934488MaRDI QIDQ3067089

Runhuan Feng, Gordon E. Willmot, Jun Cai

Publication date: 20 January 2011

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.39.1.2038063

zbMATH Keywords

ruin probabilitybarrier strategythreshold strategydiscounted penalty functionliquid reservedividend-penalty identitydividends paid up to ruin

Mathematics Subject Classification ID

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

Related Items

Optimal dividend policies for piecewise-deterministic compound Poisson risk models, Optimal investment strategies for an insurer with liquid constraint, Optimal investment for an insurer under liquid reserves, Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves

Cites Work

• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• The Time Value of Ruin in a Sparre Andersen Model
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