The perturbed compound Poisson risk model with proportional investment

DOI10.1007/S10255-024-1102-YMaRDI QIDQ6178516zbMATHFDO

Authors Nai-dan Deng, Chunwei Wang, Jia-en Xu

Publication date 16 January 2024

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

zbMATH Keywords

lognormal distributionperturbed risk modelproportional investmentexpected discounted dividend paymentssinc numerical method

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Corporate finance (dividends, real options, etc.) (91G50) Integro-ordinary differential equations (45J05)

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Cites work

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• scientific article; zbMATH DE number 53677 (Why is no real title available?)
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• The perturbed Sparre Andersen model with a threshold dividend strategy
• The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
• Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
• Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns

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