Stationary distribution of the surplus in a risk model with dividends and reinvestments

DOI10.1016/J.JKSS.2015.01.005zbMATH Open1327.60142OpenAlexW1988008294MaRDI QIDQ892877FDOQ892877

Authors: Sunggon Kim, Eui Yong Lee 

Publication date: 12 November 2015

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2015.01.005

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zbMATH Keywords

risk modelstationary distributionimpulse controlsurplus processlevel crossing argument

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25)

Cites Work

• Level crossing methods in stochastic models
• On the expected discounted penalty functions for two classes of risk processes
• Title not available (Why is that?)
• Risk theory for the compound Poisson process that is perturbed by diffusion
• On up- and downcrossings
• Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes
• Some Optimal Dividends Problems
• Characterizations of generalized hyperexponential distribution functions
• Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The joint density function of three characteristics on jump-diffusion risk process.
• Title not available (Why is that?)
• A \(P_{\lambda}^M\)-policy for an \(M/G/1\) queueing system
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility
• Approximation with generalized hyperexponential distributions: Weak convergence results
• A note on generalized hyperexponential distributions
• Analysis of risk models using a level crossing technique
• The distribution of the content of finite dams
• An optimization of a continuous time risk process

Cited In (1)

• Probability Density Function of a Non-profit Fund Surplus Under Hysteresis Surplus Control

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