The expectation of aggregate discounted dividends for a Sparre Anderson risk process perturbed by diffusion

DOI10.1002/asmb.670zbMath1150.91437MaRDI QIDQ3505192

Hui Meng, Rong Wu, Chun-sheng Zhang

Publication date: 18 June 2008

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.670

zbMATH Keywords

threshold strategy; Sparre Andersen risk process; perturbed by diffusion; expectation of aggregate discounted dividends

Mathematics Subject Classification ID

Related Items

Review of statistical actuarial risk modelling, The perturbed Sparre Andersen model with a threshold dividend strategy, A renewal jump-diffusion process with threshold dividend strategy, On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence, Dividend payments in the classical risk model under absolute ruin with debit interest

Cites Work

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• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• Optimal Dividends
• The Time Value of Ruin in a Sparre Andersen Model
• On the Time Value of Ruin
• On a Class of Renewal Risk Processes