Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion

DOI10.1016/J.INSMATHECO.2006.08.002zbMath1183.91077OpenAlexW2059034365MaRDI QIDQ882477

Ning Wan

Publication date: 23 May 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.08.002

zbMATH Keywords

diffusioncompound Poisson modelthreshold strategyGerber-Shiu discounted penalty functiondividend paymentsruin related functionals

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

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Cites Work

• Unnamed Item
• Risk theory for the compound Poisson process that is perturbed by diffusion
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• Controlled diffusion models for optimal dividend pay-out
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Some distributions for classical risk process that is perturbed by diffusion
• The compound Poisson risk model with a threshold dividend strategy
• On optimal dividends: from reflection to refraction
• Optimization of the flow of dividends
• On Optimal Dividend Strategies In The Compound Poisson Model
• Optimal Dividends

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