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On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times


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  • Albrecher, Hansjorg
  • Claramunt, M.Merce
  • Marmol, Maite
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 37 (2005)
    Issue (Month): 2 (October)
    Pages: 324-334

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    Handle: RePEc:eee:insuma:v:37:y:2005:i:2:p:324-334

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    Cited by:
    1. Frostig, Esther, 2010. "Asymptotic analysis of a risk process with high dividend barrier," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 47(1), pages 21-26, August.
    2. Yang, Hu & Zhang, Zhimin, 2008. "Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(3), pages 984-991, June.
    3. Chadjiconstantinidis, Stathis & Papaioannou, Apostolos D., 2009. "Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 45(3), pages 470-484, December.
    4. Li, Manman & Liu, Zaiming, 2012. "Regulated absolute ruin problem with interest structure and linear dividend barrier," Economic Modelling, Elsevier, Elsevier, vol. 29(5), pages 1786-1792.
    5. Feng, Runhuan, 2009. "On the total operating costs up to default in a renewal risk model," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 45(2), pages 305-314, October.
    6. Wang, Chunwei & Yin, Chuancun & Li, Erqiang, 2010. "On the classical risk model with credit and debit interests under absolute ruin," Statistics & Probability Letters, Elsevier, Elsevier, vol. 80(5-6), pages 427-436, March.
    7. Anna Castañer & M. Claramunt & Maite Mármol, 2012. "Ruin probability and time of ruin with a proportional reinsurance threshold strategy," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, Springer, vol. 20(3), pages 614-638, October.
    8. Maite Teresa Marmol Jimenez & M. Mercedes Claramunt Bielsa, 2006. "Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia 157, Universitat de Barcelona. Espai de Recerca en Economia.
    9. Kim, Bara & Kim, Hwa-Sung & Kim, Jeongsim, 2008. "A risk model with paying dividends and random environment," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(2), pages 717-726, April.
    10. Landriault, David, 2008. "Constant dividend barrier in a risk model with interclaim-dependent claim sizes," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(1), pages 31-38, February.


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