The compound Poisson process perturbed by a diffusion with a threshold dividend strategy

DOI10.1002/ASMB.734MaRDI QIDQ3077455zbMATH OpenOpenAlexFDO

Authors Yuhua Lü, Rong Wu, Kam Chuen Yuen

Publication date 22 February 2011

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.734

zbMATH Keywords

compound Poisson processintegro-differential equationLaplace transformthreshold dividend strategytime of ruin

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

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• Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
• Geometric Convergence Rates for Stochastically Ordered Markov Chains
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Cited in

(12)

• On the renewal risk model under a threshold strategy
• Decomposition of default probability under a structural credit risk model with jumps
• On the dual risk model with diffusion under a mixed dividend strategy
• Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy
• Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest
• Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps
• Threshold dividend strategy for the compound Poisson model perturbed by diffusion
• Review of statistical actuarial risk modelling
• Strategies for dividend distribution: a review
• DIVIDENDS AND COMPOUND POISSON PROCESSES: A NEW STOCHASTIC STOCK PRICE MODEL
• Stochastic transitions in the Schlögl reaction model with nonextensive statistical noise and Gaussian white noise
• On a risk model with debit interest and dividend payments

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