The discounted penalty function with multi-layer dividend strategy in the phase-type risk model

DOI10.1016/J.SPL.2012.03.012zbMATH Open1246.91062OpenAlexW3121782272MaRDI QIDQ449404FDOQ449404

Wuyuan Jiang, Xin-Ping Li, Zhaojun Yang

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.2012.03.012

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zbMATH Keywords

phase-type distributionintegro-differential equationmulti-layer dividend strategygerbershiu discounted penalty function

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• The Markovian regime-switching risk model with a threshold dividend strategy
• On the time to ruin for Erlang(2) risk processes.
• The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model
• The Time Value of Ruin in a Sparre Andersen Model
• The Gerber-Shiu penalty functions for two classes of renewal risk processes
• Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy
• The compound Poisson risk model with multiple thresholds
• On the discounted penalty function in a Markov-dependent risk model
• A Risk Model with Multilayer Dividend Strategy
• The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
• The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model
• The compound Poisson risk model with a threshold dividend strategy
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• A class of delayed renewal risk processes with a threshold dividend strategy

Cited In (9)

• The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds
• The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula
• Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy
• Markov-dependent risk model with multi-layer dividend strategy
• A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model
• The risk model with stochastic premiums and a multi-layer dividend strategy
• Dividend Payments in a Risk Model Perturbed by Diffusion with Multiple Thresholds
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model

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