The compound Poisson process perturbed by a diffusion with a threshold dividend strategy

DOI10.1002/asmb.734zbMath1224.91100OpenAlexW4247367492MaRDI QIDQ3077455

Rong Wu, Yuhua Lü, Kam-Chuen Yuen

Publication date: 22 February 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.734

zbMATH Keywords

Laplace transformintegro-differential equationcompound Poisson processtime of ruinthreshold dividend strategy

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (10)

On the dual risk model with diffusion under a mixed dividend strategy ⋮ Decomposition of default probability under a structural credit risk model with jumps ⋮ On a risk model with debit interest and dividend payments ⋮ Pricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with Jumps ⋮ Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy ⋮ Review of statistical actuarial risk modelling ⋮ Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest ⋮ On the renewal risk model under a threshold strategy ⋮ Stochastic transitions in the Schlögl reaction model with nonextensive statistical noise and Gaussian white noise ⋮ Strategies for Dividend Distribution: A Review

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