A note on the perturbed compound Poisson risk model with a threshold dividend strategy

DOI10.1007/S10255-007-7016-7MaRDI QIDQ844049zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 18 January 2010

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

Full work available at URL https://doi.org/10.1007/s10255-007-7016-7

zbMATH Keywords

integro-differential equationsGerber-Shiu functionexpected discounted payments function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes (60J99) Integro-partial differential equations (45K05) Stochastic processes (60G99)

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Cites work

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• scientific article; zbMATH DE number 1122116 (Why is no real title available?)
• scientific article; zbMATH DE number 3364606 (Why is no real title available?)
• 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.
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• On the discounted distribution functions of the surplus process perturbed by diffusion.
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• On the expectations of the present values of the time of ruin perturbed by diffusion.
• On the moments of the surplus process perturbed by diffusion.
• Optimal Dividends
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Some distributions for classical risk process that is perturbed by diffusion
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The compound Poisson risk model with a threshold dividend strategy
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• The joint density function of three characteristics on jump-diffusion risk process.
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.

Cited in

(12)

• On the Gerber-Shiu discounted penalty function of dual perturbed risk model with threshold dividend strategy
• scientific article; zbMATH DE number 5630064 (Why is no real title available?)
• Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy
• On the improved thinning risk model under a periodic dividend barrier strategy
• The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
• Threshold dividend strategy for the compound Poisson model perturbed by diffusion
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• Compound Poisson risk model with double-threshold dividend strategy
• The perturbed Poisson risk model with constant interest and a threshold dividend strategy under absolute ruin
• The Compound Poisson Risk Model with Interest and a Threshold Strategy
• The phase-type risk model perturbed by diffusion under a threshold dividend strategy
• A note on the compound binomial model with randomized dividend strategy

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