Ruin analysis of a threshold strategy in a discrete-time Sparre Andersen model

DOI10.1007/s11009-010-9184-9zbMath1245.91043OpenAlexW2135293140MaRDI QIDQ429984

Steve Drekic, Ana Maria Mera

Publication date: 20 June 2012

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-010-9184-9

zbMATH Keywords

discrete timematrix analytic methodsthreshold levelrandomized dividendsSparre Andersen model

Mathematics Subject Classification ID

Related Items (1)

A threshold-based risk process with a waiting period to pay dividends

Cites Work

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• A note on the compound binomial model with randomized dividend strategy
• A risk model with paying dividends and random environment
• Markov chain representations of discrete distributions applied to queueing models
• Ruin probabilities in the discrete time renewal risk model
• The compound binomial model with randomized decisions on paying dividends
• Randomized dividends in the compound binomial model with a general premium rate
• Some Optimal Dividends Problems
• Algorithmic Analysis of the Sparre Andersen Model in Discrete Time

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