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The compound Poisson risk model with a threshold dividend strategy

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  • Lin, X.Sheldon
  • Pavlova, Kristina P.
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4H998V1-1/2/d2a21f93991fd7410957718b7d0eeeed
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    Bibliographic Info

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

    Volume (Year): 38 (2006)
    Issue (Month): 1 (February)
    Pages: 57-80

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    Handle: RePEc:eee:insuma:v:38:y:2006:i:1:p:57-80

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    Web page: http://www.elsevier.com/locate/inca/505554

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    References

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    1. Drekic, Steve & Stafford, James E. & Willmot, Gordon E., 2004. "Symbolic calculation of the moments of the time of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 109-120, February.
    2. Li, Shuanming & Garrido, Jose, 2004. "On ruin for the Erlang(n) risk process," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 391-408, June.
    3. Lin, X. Sheldon & Willmot, Gordon E., 2000. "The moments of the time of ruin, the surplus before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 19-44, August.
    4. Lin, X. Sheldon & Willmot, Gordon E., 1999. "Analysis of a defective renewal equation arising in ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 63-84, September.
    5. Paulsen, Jostein & Gjessing, Hakon K., 1997. "Optimal choice of dividend barriers for a risk process with stochastic return on investments," Insurance: Mathematics and Economics, Elsevier, vol. 20(3), pages 215-223, October.
    6. Li, Shuanming & Garrido, Jose, 2004. "On a class of renewal risk models with a constant dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 691-701, December.
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    Cited by:
    1. Cheung, Eric C.K., 2011. "A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 384-397, May.
    2. Chi, Yichun & Lin, X. Sheldon, 2011. "On the threshold dividend strategy for a generalized jump-diffusion risk model," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 326-337, May.
    3. Arthur Hau, 2011. "Pricing of Loan Commitments for Facilitating Stochastic Liquidity Needs," Journal of Financial Services Research, Springer, vol. 39(1), pages 71-94, April.
    4. Yang, Hu & Zhang, Zhimin, 2009. "The perturbed compound Poisson risk model with multi-layer dividend strategy," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 70-78, January.
    5. Deng, Chao & Zhou, Jieming & Deng, Yingchun, 2012. "The Gerber–Shiu discounted penalty function in a delayed renewal risk model with multi-layer dividend strategy," Statistics & Probability Letters, Elsevier, vol. 82(9), pages 1648-1656.
    6. Lin, X. Sheldon & Sendova, Kristina P., 2008. "The compound Poisson risk model with multiple thresholds," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 617-627, April.
    7. Xiaoxiao Zheng & Xin Zhang, 2014. "Optimal Hybrid Dividend Strategy Under The Markovian Regime-Switching Economy," Papers 1406.7606, arXiv.org.
    8. Yuen, Kam C. & Wang, Guojing & Li, Wai K., 2007. "The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 104-112, January.
    9. Zhu, Jinxia & Yang, Hailiang, 2008. "Ruin theory for a Markov regime-switching model under a threshold dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 311-318, February.
    10. Zhang, Yuanyuan & Wang, Wensheng, 2012. "Ruin probabilities of a bidimensional risk model with investment," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 130-138.
    11. Jiang, Wuyuan & Yang, Zhaojun & Li, Xinping, 2012. "The discounted penalty function with multi-layer dividend strategy in the phase-type risk model," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1358-1366.
    12. Zhou, Ming & Yuen, Kam C., 2012. "Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle," Economic Modelling, Elsevier, vol. 29(2), pages 198-207.
    13. Yang, Hu & Zhang, Zhimin & Lan, Chunmei, 2008. "On the time value of absolute ruin for a multi-layer compound Poisson model under interest force," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1835-1845, September.
    14. Geng, Xianmin & Wang, Ying, 2012. "The compound Pascal model with dividends paid under random interest," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1331-1336.
    15. Gillen, David & Hasheminia, Hamed, 2013. "Estimating the demand responses for different sizes of air passenger groups," Transportation Research Part B: Methodological, Elsevier, vol. 49(C), pages 24-38.
    16. 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, vol. 20(3), pages 614-638, October.
    17. Feng, Runhuan, 2009. "On the total operating costs up to default in a renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 305-314, October.
    18. Yuan, Haili & Hu, Yijun, 2008. "Absolute ruin in the compound Poisson risk model with constant dividend barrier," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2086-2094, October.
    19. Shi, Yafeng & Liu, Peng & Zhang, Chunsheng, 2013. "On the compound Poisson risk model with dependence and a threshold dividend strategy," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 1998-2006.
    20. Liang, Zhibin & Young, Virginia R., 2012. "Dividends and reinsurance under a penalty for ruin," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 437-445.
    21. Lu, Yi & Li, Shuanming, 2009. "The Markovian regime-switching risk model with a threshold dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 296-303, April.
    22. Wan, Ning, 2007. "Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 509-523, May.
    23. Bratiychuk, M.S. & Derfla, D., 2007. "On a modification of the classical risk process," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 156-162, July.
    24. 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, vol. 42(3), pages 984-991, June.

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