The compound Poisson risk model with a threshold dividend strategy

DOI10.1016/J.INSMATHECO.2005.08.001MaRDI QIDQ2507941zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 5 October 2006

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2005.08.001

zbMATH Keywords

compound Poisson modeldeficit at ruinGerber-Shiu discounted penalty functionsurplus immediately before ruinthreshold strategytime of ruintwo-step premium

Mathematics Subject Classification ID

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Cited in

(only showing first 100 items - show all)

• Classical risk model with threshold dividend strategy
• The Markovian regime-switching risk model with a threshold dividend strategy
• On the renewal risk model under a threshold strategy
• Dividends: from refracting to ratcheting
• Dividend barrier strategy: proceed with caution
• On weighted occupation times for refracted spectrally negative Lévy processes
• The risk model with stochastic premiums, dependence and a threshold dividend strategy
• The compound Poisson risk model under a mixed dividend strategy
• A compound Poisson risk model with proportional investment
• Threshold dividend strategies for a Markov-additive risk model
• Ruin probability and time of ruin with a proportional reinsurance threshold strategy
• The phase-type risk model perturbed by diffusion under a threshold dividend strategy
• Number of claims and ruin time for a refracted risk process
• Forecasting counting and time statistics of compound Cox processes: a focus on intensity phase type process, deletions and simultaneous events
• On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
• Statistical estimation for some dividend problems under the compound Poisson risk model
• Finite-time dividend problems in a Lévy risk model under periodic observation
• On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence
• A risk model with varying premiums: its risk management implications
• On the threshold dividend strategy for a generalized jump-diffusion risk model
• A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
• On a risk model with surplus-dependent premium and tax rates
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• The perturbed dual risk model with constant interest and a threshold dividend strategy
• The risk model with stochastic premiums and a multi-layer dividend strategy
• Gerber-Shiu analysis with two-sided acceptable levels
• \(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment
• On the occupation times in a delayed Sparre Andersen risk model with exponential claims
• A state dependent reinsurance model
• On a risk model with randomized dividend-decision times
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• The perturbed compound Poisson risk model with multi-layer dividend strategy
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• Optimal dividend-distribution strategy under ambiguity aversion
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• The compound Poisson risk model perturbed by diffusion with double-threshold dividend barriers to shareholders and policyholders
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• The compound Poisson risk model with a threshold strategy under constant interest
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• On the analysis of a multi-threshold Markovian risk model
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• Compound Poisson risk model with double-threshold dividend strategy
• The Compound Poisson Risk Model with Interest and a Threshold Strategy
• On two actuarial quantities for the compound Poisson risk model with taxes and a threshold dividend strategy
• Dividends and reinsurance under a penalty for ruin
• The compound Pascal model with dividends paid under random interest
• 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
• Periodic threshold-type dividend strategy in the compound Poisson risk model
• Risk theory with affine dividend payment strategies
• A reinsurance risk model with a threshold coverage policy: the Gerber-Shiu penalty function
• Review of statistical actuarial risk modelling
• Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
• On optimal dividend strategies in the compound Poisson model
• “On Optimal Dividend Strategies in the Compound Poisson Model”, by Hans U. Gerber and Elias S. W. Shiu, April 2006
• A risk model with multilayer dividend strategy
• Recursive calculation of the dividend moments in a multi-threshold risk model
• Moments of discounted dividends for a threshold strategy in the compound Poisson risk model
• Strategies for dividend distribution: a review
• The Erlang(n) risk model with two-sided jumps and a constant dividend barrier
• On the expectation of total discounted operating costs up to default and its applications
• Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times
• A risk process with delayed claims and constant dividend barrier
• On the Gerber-Shiu function and optimal dividend strategy for a thinning risk model
• Dividend payments in a risk model perturbed by diffusion with multiple thresholds
• A refracted Lévy process with delayed dividend pullbacks
• A scale function based approach for solving integral-differential equations in insurance risk models
• Optimality of the threshold dividend strategy for the compound Poisson model
• Ruin probabilities of a bidimensional risk model with investment
• Analysis of risk models using a level crossing technique
• The compound Poisson risk model with dependence under a multi-layer dividend strategy
• Dividends in finite time horizon
• On the total operating costs up to default in a renewal risk model
• Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula
• On dividends and Gerber-Shiu analysis with constant interest and a periodic-threshold mixed strategy
• Optimal periodic strategies with dividends payable from gains only
• Finite-time expected present value of operating costs until ruin in Lévy risk models with varying dividend barriers
• Risk process with stochastic income and two-step premium rate
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• Statistical estimation for dividend problems under threshold dividend strategy
• On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy
• On a perturbed Sparre Andersen risk model with multi-layer dividend strategy
• A note on the perturbed compound Poisson risk model with a threshold dividend strategy
• The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion

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