On the dividends of the risk model with Markovian barrier

DOI10.1080/03610926.2018.1563175MaRDI QIDQ5077370zbMATH OpenOpenAlexWikidataFDO

Authors Qing-bin Meng, Junna Bi

Publication date 18 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2018.1563175

zbMATH Keywords

diffusion processMarkov processnumerical exampleproportional dividend

Mathematics Subject Classification ID

Statistics (62-XX) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A process with stochastic claim frequency and a linear dividend barrier
• Dividends: from refracting to ratcheting
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 3438165 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates
• On dividend strategies with non-exponential discounting
• On optimal dividend strategies in the compound Poisson model
• On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy
• Optimal debt ratio and dividend payment strategies with reinsurance
• Optimal dividend and equity issuance in the perturbed dual model under a penalty for ruin
• Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
• Optimal Dividends
• Optimal financing and dividend policy with Markovian switching regimes
• Risk theory with a nonlinear dividend barrier
• Simulation methods in ruin models with nonlinear dividend barriers.

Cited in

(8)

• Constant barrier strategies in a two-state Markov-modulated dual risk model
• On a discrete-time risk model with random income and a constant dividend barrier
• Lévy risk model with two-sided jumps and a barrier dividend strategy
• A Markov additive risk process with a dividend barrier
• The Markov additive risk process under an Erlangized dividend barrier strategy
• On a Classical Risk Model with a Constant Dividend Barrier
• The Dividend Problem in a Diffusive Stochastic Model
• On the expected discounted penalty function in a Markov-dependent risk model with a constant dividend barrier

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