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

DOI10.1080/03461230510006946zbMATH Open1092.91036OpenAlexW2080450745MaRDI QIDQ5467652FDOQ5467652

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

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zbMATH Keywords

surplus prior to ruintime of ruincollective modellinear dividend barrierclassical risk theory

Mathematics Subject Classification ID

Cites Work

• Controlled diffusion models for optimal dividend pay-out
• Title not available (Why is that?)
• Optimal Dividends
• On the Time Value of Ruin
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Some Optimal Dividends Problems
• Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Risk theory with a nonlinear dividend barrier
• Simulation methods in ruin models with nonlinear dividend barriers.

Cited In (45)

• Analysis of a threshold dividend strategy for a MAP risk model
• The perturbed Sparre Andersen model with interest and a threshold dividend strategy
• Title not available (Why is that?)
• On a doubly reflected risk process with running maximum dependent reflecting barriers
• Title not available (Why is that?)
• The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier
• The ruin theory in the presence of a linear dividend barrier
• Theoretical analysis and simulation of a risk process with a logarithmic dividend barrier
• The idle period of the finite \(G/M/1\) queue with an interpretation in risk theory
• Moments of discounted dividends for a threshold strategy in the compound Poisson risk model
• A risk process with delayed claims and constant dividend barrier
• Asymptotic Theory for a Risk Process with a High Dividend Barrier
• On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy
• The compound Poisson risk model with multiple thresholds
• Passage times in fluid models with application to risk processes
• Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
• A perturbation approach to optimal investment, liability ratio, and dividend strategies
• Nonparametric estimation of some dividend problems in the perturbed compound Poisson model
• On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy
• The compound Poisson risk model with a threshold dividend strategy
• On the expected discounted penalty function in a Markov-dependent risk model with a constant dividend barrier
• Discounted penalty function for a thinning risk model with dividend
• On the occupation times in a delayed Sparre Andersen risk model with exponential claims
• Risk theory with a nonlinear dividend barrier
• The expected discounted penalty function of a risk model with linear dividend barrier
• Stationary distribution of the surplus in a risk model with dividends and reinvestments
• Strategies for dividend distribution: a review
• Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy
• The perturbed compound Poisson risk model with linear dividend barrier
• Review of statistical actuarial risk modelling
• On the distribution of dividend payments in Lévy risk processes
• On a dual model with a linear dividend barrier
• A risk model with multilayer dividend strategy
• Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula
• On the discounted penalty function in a two-step premium rate model with linear dividend barrier
• On a Classical Risk Model with a Constant Dividend Barrier
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Asymptotic theory for a risk process with a high dividend barrier
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• The Compound Poisson Risk Model with Interest and a Threshold Strategy
• On two actuarial quantities for the compound Poisson risk model with taxes and a threshold dividend strategy
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• Dividend problems for finite time interval in the classical risk model
• A note on the compound binomial model with randomized dividend strategy

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