Results 1 to 10 of about 162 (133)
Recursive Approaches for Multi-Layer Dividend Strategies in a Phase-Type Renewal Risk Model
Risks, 2022 In this paper we consider a risk model with two independent classes of insurance risks in the presence of a multi-layer dividend strategy. We assume that both of the claim number processes are renewal processes with phase-type inter-arrival times.
Apostolos D. Papaioannou, Lewis Ramsden
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Asymptotic Expected Utility of Dividend Payments in a Classical Collective Risk Process
Risks, 2023 We find the asymptotics of the value function maximizing the expected utility of discounted dividend payments of an insurance company whose reserves are modeled as a classical Cramér risk process, with exponentially distributed claims, when the initial ...
Sebastian Baran +2 more
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Numerical Method for a Perturbed Risk Model with Proportional Investment
Mathematics, 2022 In this paper, we study the perturbed risk model with a threshold dividend strategy and proportional investment. The insurance companies are allowed to invest their surplus in a financial market consisting of a risk-free asset and a risky asset in fixed ...
Chunwei Wang, Naidan Deng, Silian Shen
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Advances in Difference Equations, 2021 In this paper, we model the insurance company’s surplus by a compound Poisson risk model, where the surplus process can only be observed at random observation times.
Wenguang Yu +5 more
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Numerical Method for a Risk Model with Two-Sided Jumps and Proportional Investment
Mathematics, 2023 In this paper, we consider a risk model with two-sided jumps and proportional investment. The upward jumps and downward jumps represent gains and claims, respectively. Suppose the company invests all of its surplus in a certain proportion in two types of
Jiaen Xu +3 more
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The risk model with stochastic premiums and a multi-layer dividend strategy
Modern Stochastics: Theory and Applications, 2019 The paper deals with a generalization of the risk model with stochastic premiums where dividends are paid according to a multi-layer dividend strategy. First of all, we derive piecewise integro-differential equations for the Gerber–Shiu function and the ...
Olena Ragulina
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Risks, 2020 In insurance mathematics, optimal control problems over an infinite time horizon arise when computing risk measures. An example of such a risk measure is the expected discounted future dividend payments.
Stefan Kremsner +2 more
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The Expected Discounted Tax Payments on Dual Risk Model under a Dividend Threshold
Open Journal of Statistics, 2013 In this paper, we consider the dual risk model in which periodic taxation are paid according to a loss-carry-forward system and dividends are paid under a threshold strategy. We give an analytical approach to derive the expression of gδ(u) (i.e. the Laplace transform of the first upper exit time).
Zhang Liu, Aili Zhang, Canhua Li
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The risk model with stochastic premiums, dependence and a threshold dividend strategy
Modern Stochastics: Theory and Applications, 2017 The paper deals with a generalization of the risk model with stochastic premiums where dependence structures between claim sizes and inter-claim times as well as premium sizes and inter-premium times are modeled by Farlie–Gumbel–Morgenstern copulas.
Olena Ragulina
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Journal of Function Spaces, 2020 In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company taking into account the time value of ruin. We assume the preference of the insurer is of the CRRA form.
Yuzhen Wen, Chuancun Yin
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