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

DOI10.1016/J.CAM.2009.10.004MaRDI QIDQ847166zbMATH OpenOpenAlexFDO

Authors Shan Gao, Zaiming Liu

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

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)

Recommendations

• A note on the perturbed compound Poisson risk model with a 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 perturbed dual risk model with constant interest and a threshold dividend strategy
• Threshold dividend strategy for the compound Poisson model perturbed by diffusion

Cites work

• scientific article; zbMATH DE number 3141417 (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
• Controlled diffusion models for optimal dividend pay-out
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
• On a Classical Risk Model with a Constant Dividend Barrier
• 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 the moments of the surplus process perturbed by diffusion.
• Optimal Dividends
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Risk theory with a nonlinear dividend barrier
• Ruin in the perturbed compound Poisson risk process under interest force
• Simulation methods in ruin models with nonlinear dividend barriers.
• Some distributions for classical risk process that is perturbed by diffusion
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• 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 expected discounted penalty function for the perturbed compound Poisson risk process with constant interest
• The perturbed Sparre Andersen model with a threshold dividend strategy
• The perturbed compound Poisson risk model with multi-layer dividend strategy
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.

Cited in

(35)

• On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
• On the threshold dividend strategy for a generalized jump-diffusion risk model
• 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
• The perturbed compound Poisson risk model with constant interest
• The compound Poisson risk model perturbed by diffusion with double-threshold dividend barriers to shareholders and policyholders
• Moments of discounted dividends for a threshold strategy in the compound Poisson risk model
• A note on the perturbed compound Poisson risk model with a threshold dividend strategy
• scientific article; zbMATH DE number 5630064 (Why is no real title available?)
• Ruin probabilities of a bidimensional risk model with investment
• On a perturbed MAP risk model under a threshold dividend strategy
• scientific article; zbMATH DE number 6130083 (Why is no real title available?)
• 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
• The compound Poisson process perturbed by a diffusion with a threshold dividend strategy
• 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
• A compound Poisson risk model with proportional investment
• The perturbed compound Poisson risk model with linear dividend barrier
• Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy
• Threshold dividend strategy for the compound Poisson model perturbed by diffusion
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
• Computing two actuarial quantities under multilayer dividend strategy with a constant interest rate: based on Sinc methods
• On the ruin probabilities for a general perturbed renewal risk process
• The perturbed Sparre Andersen model with a threshold dividend strategy
• The compound Poisson risk model with a threshold strategy under constant interest
• 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
• Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest
• 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
• A perturbed risk model with constant interest and periodic barrier dividend strategy

This page was built for publication: The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q847166)