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

DOI10.1016/j.spl.2012.03.012zbMath1246.91062MaRDI QIDQ449404

Zhaojun Yang, Wu-Yuan Jiang, Xin-Ping Li

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

zbMATH Keywords

phase-type distribution; integro-differential equation; multi-layer dividend strategy; gerber; shiu discounted penalty function

Mathematics Subject Classification ID

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

Related Items

The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula, Dividend Payments in a Risk Model Perturbed by Diffusion with Multiple Thresholds, The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds, Markov-dependent risk model with multi-layer dividend strategy, The risk model with stochastic premiums and a multi-layer dividend strategy

Cites Work

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