On finite-time ruin probabilities in a generalized dual risk model with dependence

DOI10.1016/J.EJOR.2014.10.007zbMATH Open1341.91090OpenAlexW2076070779MaRDI QIDQ726237FDOQ726237

Authors: Dimitrina S. Dimitrova, Vladimir K. Kaishev, Shouqi Zhao 

Publication date: 8 July 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/12426/1/On%20finite-time.pdf

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zbMATH Keywords

capital allocationfinite-time ruin probability(exponential) classical Appell polynomialsalarm timedual (dependent) risk model

Mathematics Subject Classification ID

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

Cites Work

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Cited In (13)

• Equilibrium dividend strategy with non-exponential discounting in a dual model
• Asymptotic analysis for optimal dividends in a dual risk model
• On a perturbed dual risk model with dependence between inter-gain times and gain sizes
• On the optimality of joint periodic and extraordinary dividend strategies
• Risk- and value-based management for non-life insurers under solvency constraints
• Duality in ruin problems for ordered risk models
• On the evaluation of risk models with bivariate integer-valued time series
• Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
• Fraud risk assessment within blockchain transactions
• Title not available (Why is that?)
• Equilibrium reinsurance-investment strategies with partial information and common shock dependence
• Parisian ruin with a threshold dividend strategy under the dual Lévy risk model
• On the dual risk model with Parisian implementation delays in dividend payments

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