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

DOI10.1016/J.JKSS.2015.01.005zbMATHOpenAlexMaRDI QIDQ892877FDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1093829 (Why is no real title available?)
• scientific article; zbMATH DE number 2172354 (Why is no real title available?)
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• Characterizations of generalized hyperexponential distribution functions
• Level crossing methods in stochastic models
• On the expected discounted penalty functions for two classes of risk processes
• On up- and downcrossings
• Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes
• Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Some Optimal Dividends Problems
• The distribution of the content of finite dams
• The joint density function of three characteristics on jump-diffusion risk process.
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin

Cited in

(1)

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

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