Absolute ruin in the compound Poisson risk model with constant dividend barrier

DOI10.1016/J.SPL.2008.01.076zbMATH Open1283.91091OpenAlexW2028312265MaRDI QIDQ730714FDOQ730714

Authors: Haili Yuan, Yijun Hu 

Publication date: 30 September 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.01.076

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Mathematics Subject Classification ID

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

Cites Work

• On the Time Value of Ruin
• Title not available (Why is that?)
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Ruin estimates under interest force
• The compound Poisson risk model with a threshold dividend strategy
• On the time value of absolute ruin with debit interest
• Martingales and insurance risk
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• The effect of interest on negative surplus
• The win-first probability under interest force

Cited In (8)

• On the expectation of total discounted operating costs up to default and its applications
• BARRIER PROBABILITIES AND MAXIMUM SEVERITY OF RUIN FOR A RENEWAL RISK MODEL
• The time value of absolute ruin for a general risk model
• Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves
• On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest
• Simulation methods in ruin models with nonlinear dividend barriers.
• The absolute ruin risk model with constant interest investment and linear threshold dividend strategy
• Absolute ruin problems for the risk processes with interest and a constant dividend barrier

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