A risk process with delayed claims and constant dividend barrier

DOI10.1137/S0040585X97T989416MaRDI QIDQ5380533zbMATH OpenFDO

Authors

Publication date 5 June 2019

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0040585X97T989416

zbMATH Keywords

delayed claimdividendmomentrisk process

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Actuarial mathematics (91G05)

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Cites work

• A risk model with delayed claims
• A ruin model with dependence between claim sizes and claim intervals
• An insensitivity property of Lundberg's estimate for delayed claims
• Delay in claim settlement
• Expected present value of total dividends in a delayed claims risk model under stochastic interest rates
• On optimal dividend strategies in the compound Poisson model
• On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier
• On the expected discounted penalty function for the compound Poisson risk model with delayed claims
• On the Time Value of Ruin
• On Ultimate Ruin in a Delayed-Claims Risk Model
• Ruin probabilities allowing for delay in claims settlement
• Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
• Ruin probabilities for time-correlated claims in the compound binomial model.
• Ruin problems under IBNR dynamics
• Some Optimal Dividends Problems
• The compound Poisson risk model with a threshold dividend strategy
• The Markovian regime-switching risk model with a threshold dividend strategy

Cited in

(6)

• On a discrete renewal risk model with constant dividend barrier and delayed claims
• Moments of the present value of total dividends and related problems in the risk model with delayed claims
• A consistent estimation of optimal dividend strategy in a risk model with delayed claims
• On the expected present value of total dividends in a risk model with potentially delayed claims
• Dividend barrier and ruin problems for a risk model with delayed claims
• A markov-modulated risk model with transaction costs and threshold dividend strategy

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