Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy

DOI10.1016/J.INSMATHECO.2007.11.004zbMath1141.91553OpenAlexW2042809218MaRDI QIDQ931185

Zhimin Zhang, Hu Yang

Publication date: 25 June 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.11.004

zbMATH Keywords

integro-differential equationtime to ruinmulti-layer dividend strategyGerber-Shiu discounted penalty function

Mathematics Subject Classification ID

Related Items (21)

Markov-dependent risk model with multi-layer dividend strategy ⋮ On a perturbed Sparre Andersen risk model with multi-layer dividend strategy ⋮ On the compound Poisson risk model with dependence and a threshold dividend strategy ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ The risk model with stochastic premiums, dependence and a threshold dividend strategy ⋮ Studies on a double Poisson-geometric insurance risk model with interference ⋮ The discounted penalty function with multi-layer dividend strategy in the phase-type risk model ⋮ The Gerber-Shiu discounted penalty function in a delayed renewal risk model with multi-layer dividend strategy ⋮ The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier ⋮ The compound Poisson risk model with dependence under a multi-layer dividend strategy ⋮ On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy ⋮ A class of delayed renewal risk processes with a threshold dividend strategy ⋮ On a multi-threshold compound Poisson process perturbed by diffusion ⋮ The perturbed compound Poisson risk model with multi-layer dividend strategy ⋮ Review of statistical actuarial risk modelling ⋮ The Markovian regime-switching risk model with a threshold dividend strategy ⋮ Unnamed Item ⋮ The risk model with stochastic premiums and a multi-layer dividend strategy ⋮ Moments of Discounted Dividends for a Threshold Strategy in the Compound Poisson Risk Model ⋮ The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds ⋮ Strategies for Dividend Distribution: A Review

Cites Work

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• Analysis of a defective renewal equation arising in ruin theory
• On a class of renewal risk models with a constant dividend barrier
• The compound Poisson risk model with a threshold dividend strategy
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• On Optimal Dividend Strategies In The Compound Poisson Model
• A Risk Model with Multilayer Dividend Strategy
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• The Time Value of Ruin in a Sparre Andersen Model

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