On the Compound Poisson Risk Model with Debit Interest and a Threshold Dividend Strategy
2011In this paper, a compound Poisson risk model with debit interest and a constant dividend barrier is considered under absolute ruin. When the surplus is below a fixed positive level, the surplus is kept as liquid reserves, which do not earn interest. When the surplus attains the level, the excess of the surplus over the level will receive interest at a ...
Chunwei Wang, Xigang Du, Qiaoyu Chen
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Optimal dividend payment problems in piecewise-deterministic compound Poisson risk models
2012 IEEE 51st IEEE Conference on Decision and Control (CDC), 2012This work deals with an optimal dividend payment problem for a piecewise-deterministic compound Poisson insurance risk model. The objective is to maximize the expected discounted dividend payout up to the time of ruin. When the dividend payment rate is restricted, the value function is shown to be a solution of the corresponding Hamilton-Jacobi-Bellman
Runhuan Feng +2 more
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The perturbed compound Poisson risk model with multi-layer dividend strategy
Statistics & Probability Letters, 2009zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yang, Hu, Zhang, Zhimin
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Compound Compound Poisson Risk Model
2016The compound Poisson risk models are widely used in practice. In this paper the counting process in the insurance risk model is a compound Poisson process. The model is called Compound Compound Poisson Risk Model. Some basic properties and ruin probability are given. We analyze the model under the proportional reinsurance.
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Probability Approximation for Compound Binomial and Compound Poisson Collective Risk Models
Malaysian Journal of Mathematical SciencesThe collective risk model holds significant importance in decision-making and risk management contexts. It primarily focuses on the aggregation of random sums of random variables. In this work, we investigate the approximation of both compound binomial and compound Poisson collective risk models, where the number of claims follows binomial and Poisson ...
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On variational bounds in the compound Poisson approximation of the individual risk model
Insurance: Mathematics and Economics, 2007zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Monte-Carlo estimate of the probability of ruin in a compound poisson model of risk theory
Cybernetics and Systems Analysis, 1995zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Estimate of the ruin probability in compound generalized Poisson risk model
2001Summary: The compound Poisson risk model to a compound generalized Poisson risk model was generalized and it is proved that the compound generalized Poisson risk model can be changed into the compound Poisson risk model. The formula of the ruin probability and its upper and lower bounds of the ruin probability are obtained.
Gong, Rizhao, Yang, Xiangqun
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The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
Scandinavian Actuarial Journal, 2006We consider a diffusion perturbed classical compound Poisson risk model in the presence of a constant dividend barrier. An integro-differential equation with certain boundary conditions for the n-th moment of the discounted dividend payments prior to ruin is derived and solved.
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A Compound Poisson-Geometric Risk Model with Risk Investment and Barrier Dividend
Pure Mathematics, 2022openaire +1 more source