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The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier

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  • Yuen, Kam C.
  • Wang, Guojing
  • Li, Wai K.
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    Bibliographic Info

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

    Volume (Year): 40 (2007)
    Issue (Month): 1 (January)
    Pages: 104-112

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    Handle: RePEc:eee:insuma:v:40:y:2007:i:1:p:104-112

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

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    References

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    1. Cai, Jun & Dickson, David C. M., 2002. "On the expected discounted penalty function at ruin of a surplus process with interest," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 30(3), pages 389-404, June.
    2. Li, Shuanming & Garrido, Jose, 2004. "On a class of renewal risk models with a constant dividend barrier," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 35(3), pages 691-701, December.
    3. Asmussen, Soren & Taksar, Michael, 1997. "Controlled diffusion models for optimal dividend pay-out," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 20(1), pages 1-15, June.
    4. Lin, X.Sheldon & Pavlova, Kristina P., 2006. "The compound Poisson risk model with a threshold dividend strategy," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 38(1), pages 57-80, February.
    5. Cai, Jun, 2004. "Ruin probabilities and penalty functions with stochastic rates of interest," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 112(1), pages 53-78, July.
    6. Wu, Rong & Wang, Guojing & Zhang, Chunsheng, 2005. "On a joint distribution for the risk process with constant interest force," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 36(3), pages 365-374, June.
    7. Wang, Guojing & Wu, Rong, 2001. "Distributions for the risk process with a stochastic return on investments," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 95(2), pages 329-341, October.
    8. Kalashnikov, Vladimir & Norberg, Ragnar, 2002. "Power tailed ruin probabilities in the presence of risky investments," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 98(2), pages 211-228, April.
    9. Delbaen, F. & Haezendonck, J., 1987. "Classical risk theory in an economic environment," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 6(2), pages 85-116, April.
    10. Sundt, Bjorn & Teugels, Jozef L., 1997. "The adjustment function in ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 19(2), pages 85-94, April.
    11. Yuen, Kam C. & Wang, Guojing & Ng, Kai W., 2004. "Ruin probabilities for a risk process with stochastic return on investments," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 110(2), pages 259-274, April.
    12. 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, Elsevier, vol. 20(3), pages 215-223, October.
    13. Sundt, Bjorn & Teugels, Jozef L., 1995. "Ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 16(1), pages 7-22, April.
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    Cited by:
    1. Gerber, Hans U. & Yang, Hailiang, 2010. "Obtaining the dividends-penalty identities by interpretation," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 47(2), pages 206-207, October.
    2. Yuan, Haili & Hu, Yijun, 2008. "Absolute ruin in the compound Poisson risk model with constant dividend barrier," Statistics & Probability Letters, Elsevier, Elsevier, vol. 78(14), pages 2086-2094, October.
    3. Yin, Chuancun & Yuen, Kam Chuen, 2011. "Optimality of the threshold dividend strategy for the compound Poisson model," Statistics & Probability Letters, Elsevier, Elsevier, vol. 81(12), pages 1841-1846.
    4. Yuen, Kam-Chuen & Zhou, Ming & Guo, Junyi, 2008. "On a risk model with debit interest and dividend payments," Statistics & Probability Letters, Elsevier, Elsevier, vol. 78(15), pages 2426-2432, October.
    5. Li, Shuanming & Lu, Yi, 2013. "On the generalized Gerber–Shiu function for surplus processes with interest," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 52(2), pages 127-134.
    6. Zhou, Ming & Yuen, Kam C., 2012. "Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle," Economic Modelling, Elsevier, Elsevier, vol. 29(2), pages 198-207.

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