The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier

DOI10.1016/j.insmatheco.2006.03.002zbMath1273.91456OpenAlexW1969949804MaRDI QIDQ865615

Wai Keung Li, Kam-Chuen Yuen, Guo-jing Wang

Publication date: 19 February 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.03.002

zbMATH Keywords

compound Poissonintegro-differential equationbarrier strategytime of ruinexpected discounted penalty functionstochastic return on investments

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (34)

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