Gerber-Shiu function of a discrete risk model with and without a constant dividend barrier

DOI10.1007/S11464-014-0409-ZMaRDI QIDQ893334zbMATH OpenOpenAlexFDO

Authors Chuangji An, Shanshan Wang, Chunsheng Zhang

Publication date 19 November 2015

Published in Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11464-014-0409-z

zbMATH Keywords

ruin timeGerber-Shiu functionsurplus before ruindeficit at ruindividend barrierdiscrete risk model

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Discrete-time Markov processes on general state spaces (60J05)

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Cites work

• scientific article; zbMATH DE number 2130681 (Why is no real title available?)
• A note on the expected present value of dividends with a constant barrier in the discrete time model
• A review of discrete-time risk models
• Direct derivation of finite-time ruin probabilities in the discrete risk model with exponential or geometric claims
• Discounted probabilities and ruin theory in the compound binomial model
• Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
• Methods for estimating the optimal dividend barrier and the probability of ruin
• On a class of discrete time renewal risk models
• On the Time Value of Ruin
• Some Optimal Dividends Problems
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The compound binomial model with a constant dividend barrier and periodically paid dividends
• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function

Cited in

(4)

• Gerber-Shiu theory for discrete risk processes in a regime switching environment
• scientific article; zbMATH DE number 5671410 (Why is no real title available?)
• scientific article; zbMATH DE number 5525889 (Why is no real title available?)
• Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims

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