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

DOI10.1016/J.INSMATHECO.2006.03.002zbMATH Open1273.91456OpenAlexW1969949804MaRDI QIDQ865615FDOQ865615

Wai Keung Li, Kam Chuen Yuen, Guojing 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

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Mathematics Subject Classification ID

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

Cites Work

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Classical risk theory in an economic environment
The adjustment function in ruin estimates under interest force
On a joint distribution for the risk process with constant interest force

Cited In (44)

Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest
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 Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier
On the generalized Gerber-Shiu function for surplus processes with interest
Constant dividend barrier in a risk model with interclaim-dependent claim sizes
Strategies for Dividend Distribution: A Review
Title not available (Why is that?)
On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
On the dual risk model with Parisian implementation delays under a mixed dividend strategy
On a risk model with surplus-dependent premium and tax rates
Ruin-related problems in the dual risk model under two different randomized observations
Absolute ruin in the compound Poisson risk model with constant dividend barrier
On a class of stationary renewal risk model with constant dividend barrier
Statistical estimation for some dividend problems under the compound Poisson risk model
On the occupation times in a delayed Sparre Andersen risk model with exponential claims
On a risk model with debit interest and dividend payments
The compound Poisson process perturbed by a diffusion with a threshold dividend strategy
The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest
On dividends and Gerber-Shiu analysis with constant interest and a periodic-threshold mixed strategy
On the renewal risk model under a threshold strategy
The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
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
The Gerber-Shiu discounted penalty function in the classical risk model with impulsive dividend policy
Optimality of the threshold dividend strategy for the compound Poisson model
An elementary approach to discrete models of dividend strategies
The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
On the expected discounted penalty function at ruin of a surplus process with interest.
An integro-differential equation in compound Poisson risk model with variable threshold dividend payment strategy to shareholders and tail dependence between claims amounts and inter-claim time
The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier
Title not available (Why is that?)
Title not available (Why is that?)
The Gerber-Shiu discounted penalty function: a review from practical perspectives
A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy
On optimality of the barrier strategy for a general Lévy risk process
Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims
Obtaining the dividends-penalty identities by interpretation
Absolute ruin problems for the risk processes with interest and a constant dividend barrier
The Compound Poisson Risk Model with Interest and a Threshold Strategy
Analysis of the Compound Poisson Surplus Model with Liquid Reserves, Interest and Dividends
Dividend payments in the classical risk model under absolute ruin with debit interest
Optimal reinsurance and dividend under model uncertainty

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