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

DOI10.1016/J.SPL.2012.03.012MaRDI QIDQ449404zbMATH OpenOpenAlexFDO

Authors Zhaojun Yang, Wuyuan 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

gerberintegro-differential equationmulti-layer dividend strategyphase-type distributionshiu discounted penalty function

Mathematics Subject Classification ID

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

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Cites work

• A class of delayed renewal risk processes with a threshold dividend strategy
• A risk model with multilayer dividend strategy
• 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
• On the discounted penalty function in a Markov-dependent risk model
• On the time to ruin for Erlang(2) risk processes.
• The compound Poisson risk model with a threshold dividend strategy
• The compound Poisson risk model with multiple thresholds
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model
• The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
• The Gerber-Shiu penalty functions for two classes of renewal risk processes
• The Markovian regime-switching risk model with a threshold dividend strategy
• 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

Cited in

(13)

• 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
• The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Markov-dependent risk model with multi-layer dividend strategy
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• On the Gerber-Shiu function for a risk model with multi-layer dividend strategy
• The Gerber-Shiu discounted penalty function in a delayed renewal risk model with multi-layer dividend strategy
• The maximum surplus before ruin for dependent risk models through Farlie-Gumbel-Morgenstern copula
• A risk model with multilayer dividend strategy
• Dividend payments in a risk model perturbed by diffusion with multiple thresholds
• 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

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