Dividend payments in a risk model perturbed by diffusion with multiple thresholds

DOI10.1080/07362994.2013.819784MaRDI QIDQ5746995zbMATH OpenOpenAlexFDO

Authors Zhaojun Yang, Wuyuan Jiang

Publication date 11 February 2014

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2013.819784

zbMATH Keywords

dividend paymentsintegro-differential equationsmultiple thresholdsperturbed processphase-type distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for integral equations, integral transforms (65R99)

Recommendations

• scientific article; zbMATH DE number 7408837
• The phase-type risk model perturbed by diffusion under a threshold dividend strategy
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
• Dividend moments for two classes of risk processes with phase-type interclaim times
• scientific article; zbMATH DE number 6130083

Cites work

• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• On the time to ruin for Erlang(2) risk processes.
• Perturbed MAP Risk Models with Dividend Barrier Strategies
• Some Optimal Dividends Problems
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The compound Poisson risk model with a threshold dividend strategy
• The compound Poisson risk model with multiple thresholds
• The discounted penalty function with multi-layer dividend strategy in the phase-type risk model
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
• The Gerber-Shiu penalty functions for two classes of renewal risk processes
• The Markovian regime-switching risk model with a threshold dividend strategy
• The perturbed Sparre Andersen model with a threshold dividend strategy
• The Time Value of Ruin in a Sparre Andersen Model

Cited in

(12)

• The phase-type risk model perturbed by diffusion under a threshold dividend strategy
• Dividend optimization for jump-diffusion model with solvency constraints
• Dividend moments for two classes of risk processes with phase-type interclaim times
• On a dual risk model perturbed by diffusion with dividend threshold
• On Risk Model with Dividends Payments Perturbed by a Brownian Motion – An Algorithmic Approach
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• scientific article; zbMATH DE number 6130083 (Why is no real title available?)
• Recursive calculation of the dividend moments in a multi-threshold risk model
• scientific article; zbMATH DE number 7408837 (Why is no real title available?)
• scientific article; zbMATH DE number 7113161 (Why is no real title available?)
• scientific article; zbMATH DE number 6285663 (Why is no real title available?)
• Distribution of the Present Value of Dividend Payments in a Lévy Risk Model

This page was built for publication: Dividend payments in a risk model perturbed by diffusion with multiple thresholds

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5746995)