The compound Pascal model with dividends paid under random interest
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Publication:449394
DOI10.1016/j.spl.2012.03.037zbMath1246.91061MaRDI QIDQ449394
Publication date: 30 August 2012
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2012.03.037
62P05: Applications of statistics to actuarial sciences and financial mathematics
60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)
Cites Work
- Risk theory with a nonlinear dividend barrier
- A process with stochastic claim frequency and a linear dividend barrier
- The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
- Ruin probabilities with a Markov chain interest model
- On a class of renewal risk models with a constant dividend barrier
- The compound binomial model with randomized decisions on paying dividends
- The compound Poisson risk model with a threshold dividend strategy
- The expected time to ruin in a risk process with constant barrier via martingales
- On the probability of ruin in the presence of a linear dividend barrier