On the compound Poisson risk model with periodic capital injections

DOI10.1017/ASB.2017.22zbMATH Open1390.91220OpenAlexW2759369892MaRDI QIDQ5745200FDOQ5745200

Authors: Zhimin Zhang, Eric C. K. Cheung, Hailiang Yang 

Publication date: 5 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/4c789289b9fb8b69680fa4eadcfb80db428c827d

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zbMATH Keywords

compound Poisson risk modelGerber-Shiu expected discounted penalty functionresolvent measureperiodic capital injectionsperpetual reinsurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

• Erlangian approximation to finite time ruin probabilities in perturbed risk models
• Gerber-Shiu risk theory
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• Randomized onservation periods for the compound Poisson risk model: dividends
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• Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
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• The finite time ruin probability in a risk model with capital injections
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• “On the Time Value of Ruin”, Hans U. Gerber and Elias S.W. Shiu, January 1998
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Cited In (25)

• On a dividend problem with random funding
• Ruin probabilities under capital constraints
• Title not available (Why is that?)
• Periodic threshold-type dividend strategy in the compound Poisson risk model
• Optimal singular dividend control with capital injection and affine penalty payment at ruin
• On the time to ruin for a dependent delayed capital injection risk model
• Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
• Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times
• Gerber-Shiu analysis of a risk model with capital injections
• On the improved thinning risk model under a periodic dividend barrier strategy
• Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend
• A note on Gerber-Shiu functions with an application
• Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
• The finite time ruin probability in a risk model with capital injections
• Modeling and computation of cost-constrained adaptive environmental management with discrete observation and intervention
• Discrete-time insurance model with capital injections and reinsurance
• On a time-changed Lévy risk model with capital injections and periodic observation
• Delayed capital injections for a risk process with Markovian arrivals
• Stochastic compounding models for continuous uniform cash flows arising in risk management
• Modeling the effect of spending on cyber security by using surplus process
• Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
• On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance
• Finite-time dividend problems in a Lévy risk model under periodic observation
• More for less insurance model: an alternative to (re)insurance
• On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy

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