The compound Poisson risk model with dependence under a multi-layer dividend strategy

DOI10.1007/S11766-011-2279-4zbMATH Open1240.91089OpenAlexW2045336496MaRDI QIDQ655738FDOQ655738

Authors: Zhimin Zhang, Hu Yang 

Publication date: 27 January 2012

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-011-2279-4

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zbMATH Keywords

integro-differential equationheavy-tailed distributionmulti-layer dividend strategyGerber-Shiu discounted penalty function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• On the time to ruin for Erlang(2) risk processes.
• Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy
• The compound Poisson risk model with multiple thresholds
• On a risk model with dependence between interclaim arrivals and claim sizes
• Title not available (Why is that?)
• Optimal Dividends
• On ruin for the Erlang \((n)\) risk process
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The perturbed compound Poisson risk model with multi-layer dividend strategy
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• The compound Poisson risk model with a threshold dividend strategy
• Ruin estimates for large claims
• Constant dividend barrier in a risk model with interclaim-dependent claim sizes
• Analysis of a defective renewal equation arising in ruin theory
• On the time value of absolute ruin for a multi-layer compound Poisson model under interest force

Cited In (11)

• Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model
• On the Gerber-Shiu function for a risk model with multi-layer dividend strategy
• The Erlang(n) risk model with two-sided jumps and a constant dividend barrier
• Markov-dependent risk model with multi-layer dividend strategy
• On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy
• The risk process with dependence based on FGM copula under a multi-layer dividend strategy
• The risk model with stochastic premiums and a multi-layer dividend strategy
• The Erlang(2) risk process with dependence under a multi-layer dividend strategy
• On a discrete-time risk model with general income and time-dependent claims
• On the compound Poisson risk model with dependence and a threshold dividend strategy
• The perturbed compound Poisson risk model with multi-layer dividend strategy

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