On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier

DOI10.1080/03461230510006946MaRDI QIDQ5467652zbMATH OpenOpenAlexFDO

Authors Jürgen Hartinger, Robert F. Tichy, Hansjörg Albrecher

Publication date 24 May 2006

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461230510006946

zbMATH Keywords

surplus prior to ruintime of ruincollective modellinear dividend barrierclassical risk theory

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• Controlled diffusion models for optimal dividend pay-out
• On the Time Value of Ruin
• Optimal Dividends
• Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
• Risk theory with a nonlinear dividend barrier
• Simulation methods in ruin models with nonlinear dividend barriers.
• Some Optimal Dividends Problems
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

Cited in

(46)

• Nonparametric estimation of some dividend problems in the perturbed compound Poisson model
• Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula
• Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy
• Review of statistical actuarial risk modelling
• A risk model with multilayer dividend strategy
• The perturbed compound Poisson risk model with linear dividend barrier
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• On the expected discounted penalty function in a Markov-dependent risk model with a constant dividend barrier
• The ruin theory in the presence of a linear dividend barrier
• On a Classical Risk Model with a Constant Dividend Barrier
• A risk process with delayed claims and constant dividend barrier
• Analysis of a threshold dividend strategy for a MAP risk model
• Stationary distribution of the surplus in a risk model with dividends and reinvestments
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier
• Passage times in fluid models with application to risk processes
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Moments of discounted dividends for a threshold strategy in the compound Poisson risk model
• The Compound Poisson Risk Model with Interest and a Threshold Strategy
• scientific article; zbMATH DE number 5762675 (Why is no real title available?)
• On two actuarial quantities for the compound Poisson risk model with taxes and a threshold dividend strategy
• Discounted penalty function for a thinning risk model with dividend
• Theoretical analysis and simulation of a risk process with a logarithmic dividend barrier
• Dividend problems for finite time interval in the classical risk model
• On the discounted penalty function in a two-step premium rate model with linear dividend barrier
• The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier
• Risk theory with a nonlinear dividend barrier
• Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
• Strategies for dividend distribution: a review
• The expected discounted penalty function of a risk model with linear dividend barrier
• Asymptotic Theory for a Risk Process with a High Dividend Barrier
• The idle period of the finite \(G/M/1\) queue with an interpretation in risk theory
• The compound Poisson risk model with a threshold dividend strategy
• A perturbation approach to optimal investment, liability ratio, and dividend strategies
• scientific article; zbMATH DE number 718680 (Why is no real title available?)
• On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy
• On the distribution of dividend payments in Lévy risk processes
• On a dual model with a linear dividend barrier
• On a doubly reflected risk process with running maximum dependent reflecting barriers
• Dividend payments under the risk model with stochastic premium and constant interest
• Asymptotic theory for a risk process with a high dividend barrier
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• A note on the compound binomial model with randomized dividend strategy
• The compound Poisson risk model with multiple thresholds
• The perturbed Sparre Andersen model with interest and a threshold dividend strategy
• On the occupation times in a delayed Sparre Andersen risk model with exponential claims
• On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy

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