Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy

DOI10.1007/S10255-010-0016-ZMaRDI QIDQ601959zbMATH OpenOpenAlexFDO

Authors Wei Wang, Jing-Min He, Rong Wu

Publication date 29 October 2010

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-010-0016-z

zbMATH Keywords

piecewise deterministic Markov processbarrier strategyweak infinitesimal generator

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 3345319 (Why is no real title available?)
• scientific article; zbMATH DE number 3364606 (Why is no real title available?)
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• A decomposition of the ruin probability for the risk process perturbed by diffusion
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest
• Martingales and insurance risk
• On a risk model with debit interest and dividend payments
• On the expectation of total discounted operating costs up to default and its applications
• On the time value of absolute ruin with debit interest
• Optimal Dividends
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Ruin estimation for a general insurance risk model
• Smoothness of scale functions for spectrally negative Lévy processes

Cited in

(3)

• Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy
• On differentiability of ruin functions under Markov-modulated models
• scientific article; zbMATH DE number 2099774 (Why is no real title available?)

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