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

DOI10.1007/S11464-014-0409-ZzbMATH Open1345.60081OpenAlexW2055257685MaRDI QIDQ893334FDOQ893334

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

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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)

Cites Work

• On the Time Value of Ruin
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Title not available (Why is that?)
• Some Optimal Dividends Problems
• A review of discrete-time risk models
• Discounted probabilities and ruin theory in the compound binomial model
• On a class of discrete time renewal risk models
• Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
• The compound binomial model with a constant dividend barrier and periodically paid dividends
• Direct Derivation of Finite-Time Ruin Probabilities in the Discrete Risk Model with Exponential or Geometric Claims
• A note on the expected present value of dividends with a constant barrier in the discrete time model
• Methods for estimating the optimal dividend barrier and the probability of ruin

Cited In (3)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims

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