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

DOI10.1007/S10255-007-7016-7zbMATH Open1187.62159OpenAlexW2065702931MaRDI QIDQ844049FDOQ844049

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

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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)

Cites Work

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• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
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• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
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• Optimal Dividends
• Risk theory for the compound Poisson process that is perturbed by diffusion
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
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• On the discounted distribution functions of the surplus process perturbed by diffusion.
• The compound Poisson risk model with a threshold dividend strategy
• On the moments of the surplus process perturbed by diffusion.
• A decomposition of the ruin probability for the risk process perturbed by diffusion
• On the expectations of the present values of the time of ruin perturbed by diffusion.
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
• Some distributions for classical risk process that is perturbed by diffusion

Cited In (12)

• Title not available (Why is that?)
• 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
• On the Gerber-Shiu discounted penalty function of dual perturbed risk model with threshold dividend strategy

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