On a perturbed Sparre Andersen risk model with dividend barrier and dependence

DOI10.1016/J.JKSS.2014.02.005zbMATH1304.91139OpenAlexW2031558301MaRDI QIDQ488607FDOQ488607

Authors Xiu Wu, Hu Yang, Zhimin Zhang

Publication date 26 January 2015

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2014.02.005

zbMATH Keywords

dependence integral equation Gerber-Shiu function dividend barrier dividend payments

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65)

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Cites work

scientific article; zbMATH DE number 3364606 (Why is no real title available?)
A generalized defective renewal equation for the surplus process perturbed by diffusion.
A note on moments of dividends
A perturbed risk model with dependence between premium rates and claim sizes
Asymptotics for the infinite-time absolute ruin probabilities in time-dependent renewal risk models
Asymptotics in a time-dependent renewal risk model with stochastic return
Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula
Constant dividend barrier in a risk model with interclaim-dependent claim sizes
Exit problems for jump processes with applications to dividend problems
Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
Introductory lectures on fluctuations of Lévy processes with applications.
On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation
On a risk model with dependence between interclaim arrivals and claim sizes
On the discounted distribution functions of the surplus process perturbed by diffusion.
On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
On the expectations of the present values of the time of ruin perturbed by diffusion.
On the moments of the surplus process perturbed by diffusion.
On the non-optimality of horizontal barrier strategies in the Sparre Andersen model
Perturbed MAP Risk Models with Dividend Barrier Strategies
Risk theory for the compound Poisson process that is perturbed by diffusion
Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
The perturbed Sparre Andersen model with a threshold dividend strategy
Uniform asymptotics for discounted aggregate claims in dependent risk models

Cited in

(7)

The Gerber-Shiu discounted penalty function for the bi-seasonal discrete time risk model
On the probability of ruin of a joint-stock insurance company in the sparre Andersen risk model
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On a perturbed Sparre Andersen risk model with multi-layer dividend strategy
A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy
On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
The perturbed Sparre Andersen model with a threshold dividend strategy

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