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Journal of Applied Mathematics, 2014 Consider dividend problems in the diffusion model with interest and exponentially distributed observation time where dividends are paid according to a barrier strategy.
Cuilian Wang, Xiao Liu
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De Finetti’s optimal dividends problem with an affine penalty function at ruin [PDF]
Insurance: Mathematics and Economics, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Loeffen, Ronnie L. +1 more
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On a Dual Model with Barrier Strategy
Journal of Applied Mathematics, 2012 We consider the dual of the generalized Erlang(n) risk model with a barrier dividend strategy. We derive integro-differential equations with boundary conditions satisfied by the expectation of the sum of discounted dividends until ruin and the moment ...
Yuzhen Wen, Chuancun Yin
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High order expansions for renewal functions and applications to ruin theory [PDF]
The Annals of Applied Probability, 2017 A high order expansion of the renewal function is provided under the assumption that the inter-renewal time distribution is light tailed with finite moment generating function g on a neighborhood of 0. This expansion relies on complex analysis and is expressed in terms of the residues of the function 1/(1 -- g).
Clément, Dombry, Rabehasaina, Landy
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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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On the time value of ruin in the discrete time risk model [PDF]
, 2002 Using an approach similar to that of Gerber and Shiu (1998), a recursive formula is given for the expected discounted penalty due at ruin, in the discrete time risk model. With it the joint distribution of three random variables is obtained; time to ruin,
Garrido, José, Li, Shuanming
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A Note on Gerber–Shiu Function with Delayed Claim Reporting under Constant Force of Interest
Mathematical and Computational Applications, 2022 In this paper, we analyze the Gerber–Shiu discounted penalty function for a constant interest rate in delayed claim reporting times. Using the Poisson claim arrival scenario, we derive the differential equation of the Laplace transform of the generalized
Kokou Essiomle, Franck Adekambi
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Discrete Dynamics in Nature and Society, 2013 We consider a Markovian regime-switching risk model (also called the Markov-modulated risk model) with stochastic premium income, in which the premium income and the claim occurrence are driven by the Markovian regime-switching process.
Wenguang Yu
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Journal of Applied Mathematics, 2013 Based on characteristics of the nonlife joint-stock insurance company, this paper presents a compound binomial risk model that randomizes the premium income on unit time and sets the threshold for paying dividends to shareholders.
Xiong Wang, Lei He
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The Perturbed Dual Risk Model with Constant Interest and a Threshold Dividend Strategy
Abstract and Applied Analysis, 2013 We consider the perturbed dual risk model with constant interest and a threshold dividend strategy. Firstly, we investigate the moment-generation function of the present value of total dividends until ruin.
Fanzi Zeng, Jisheng Xu
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