The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy

DOI10.1016/J.CAM.2009.10.004zbMATH Open1222.91023OpenAlexW2068753196MaRDI QIDQ847166FDOQ847166

Zaiming Liu, Shan Gao

Publication date: 12 February 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2009.10.004

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zbMATH Keywords

Brownian motionintegro-differential equationdiscounted dividend paymentsthreshold dividend strategyGerber-Shiu discounted penalty functionconstant interest

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Cites Work

• Controlled diffusion models for optimal dividend pay-out
• On Optimal Dividend Strategies In The Compound Poisson Model
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• On a Classical Risk Model with a Constant Dividend Barrier
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal Dividends
• Risk theory for the compound Poisson process that is perturbed by diffusion
• 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
• Ruin in the perturbed compound Poisson risk process under interest force
• Dividend payments with a threshold strategy in the compound Poisson risk model 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
• The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest
• Risk theory with a nonlinear dividend barrier
• Simulation methods in ruin models with nonlinear dividend barriers.
• The perturbed Sparre Andersen model with a threshold dividend strategy
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• Some distributions for classical risk process that is perturbed by diffusion

Cited In (21)

• The perturbed dual risk model with constant interest and a threshold dividend strategy
• The perturbed Sparre Andersen model with interest and a threshold dividend strategy
• Omega model for a jump-diffusion process with a two-step premium rate
• Title not available (Why is that?)
• Ruin probabilities of a bidimensional risk model with investment
• Title not available (Why is that?)
• Optimal Dividend Strategy in the Compound Poisson Model with Constant Interest
• The compound Poisson risk model with a threshold dividend strategy
• The perturbed compound Poisson risk model with proportional investment
• On dividends and Gerber-Shiu analysis with constant interest and a periodic-threshold mixed strategy
• Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves
• Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy
• The perturbed compound Poisson risk model with linear dividend barrier
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
• On the ruin probabilities for a general perturbed renewal risk process
• The perturbed Sparre Andersen model with a threshold dividend strategy
• A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy
• The perturbed compound Poisson risk model with multi-layer dividend strategy
• The absolute ruin risk model with constant interest investment and linear 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

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