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The compound Poisson risk model with a threshold dividend strategy

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  1. 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.
  2. Jin, Can & Li, Shuanming & Wu, Xueyuan, 2016. "On the occupation times in a delayed Sparre Andersen risk model with exponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 304-316.
  3. Zan Yu & Lianzeng Zhang, 2024. "Computing the Gerber-Shiu function with interest and a constant dividend barrier by physics-informed neural networks," Papers 2401.04378, arXiv.org.
  4. 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.
  5. 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.
  6. 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.
  7. Yue He & Reiichiro Kawai & Yasutaka Shimizu & Kazutoshi Yamazaki, 2022. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Papers 2203.10680, arXiv.org, revised Dec 2022.
  8. Runhuan Feng & Yasutaka Shimizu, 2013. "On a Generalization from Ruin to Default in a Lévy Insurance Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 15(4), pages 773-802, December.
  9. Zhang, Aili & Li, Shuanming & Wang, Wenyuan, 2023. "A scale function based approach for solving integral-differential equations in insurance risk models," Applied Mathematics and Computation, Elsevier, vol. 450(C).
  10. He, Yue & Kawai, Reiichiro & Shimizu, Yasutaka & Yamazaki, Kazutoshi, 2023. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 1-28.
  11. 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.
  12. 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.
  13. Kam C. Yuen & Yuhua Lu & Rong Wu, 2009. "The compound Poisson process perturbed by a diffusion with a threshold dividend strategy," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(1), pages 73-93, January.
  14. Boxma, Onno & Frostig, Esther & Perry, David & Yosef, Rami, 2017. "A state dependent reinsurance model," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 170-181.
  15. Liu, Xiangdong & Xiong, Jie & Zhang, Shuaiqi, 2015. "The Gerber–Shiu discounted penalty function in the classical risk model with impulsive dividend policy," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 183-190.
  16. 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.
  17. Olena Ragulina & Jonas Šiaulys, 2020. "Upper Bounds and Explicit Formulas for the Ruin Probability in the Risk Model with Stochastic Premiums and a Multi-Layer Dividend Strategy," Mathematics, MDPI, vol. 8(11), pages 1-35, October.
  18. 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.
  19. 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.
  20. Eric C. K. Cheung & David Landriault, 2012. "On a Risk Model with Surplus-dependent Premium and Tax Rates," Methodology and Computing in Applied Probability, Springer, vol. 14(2), pages 233-251, June.
  21. 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.
  22. Xiaoxiao Zheng & Xin Zhang, 2014. "Optimal Hybrid Dividend Strategy Under The Markovian Regime-Switching Economy," Papers 1406.7606, arXiv.org.
  23. 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.
  24. 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.
  25. Albrecher, Hansjörg & Bäuerle, Nicole & Bladt, Martin, 2018. "Dividends: From refracting to ratcheting," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 47-58.
  26. 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.
  27. 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.
  28. 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.
  29. Zhang, Zhimin & Han, Xiao, 2017. "The compound Poisson risk model under a mixed dividend strategy," Applied Mathematics and Computation, Elsevier, vol. 315(C), pages 1-12.
  30. 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.
  31. 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.
  32. Paula R. Bouzas & Nuria Ruiz-Fuentes & Carmen Montes-Gijón & Juan Eloy Ruiz-Castro, 2021. "Forecasting counting and time statistics of compound Cox processes: a focus on intensity phase type process, deletions and simultaneous events," Statistical Papers, Springer, vol. 62(1), pages 235-265, February.
  33. Jing Wang & Zbigniew Palmowski & Corina Constantinescu, 2021. "How Much We Gain by Surplus-Dependent Premiums—Asymptotic Analysis of Ruin Probability," Risks, MDPI, vol. 9(9), pages 1-17, August.
  34. Arthur Hau, 2011. "Pricing of Loan Commitments for Facilitating Stochastic Liquidity Needs," Journal of Financial Services Research, Springer;Western Finance Association, vol. 39(1), pages 71-94, April.
  35. Xie, Jiayi & Zhang, Zhimin, 2021. "Finite-time dividend problems in a Lévy risk model under periodic observation," Applied Mathematics and Computation, Elsevier, vol. 398(C).
  36. Li, Shu & Landriault, David & Lemieux, Christiane, 2015. "A risk model with varying premiums: Its risk management implications," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 38-46.
  37. 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.
  38. Apostolos D. Papaioannou & Lewis Ramsden, 2022. "Recursive Approaches for Multi-Layer Dividend Strategies in a Phase-Type Renewal Risk Model," Risks, MDPI, vol. 11(1), pages 1-21, December.
  39. Wei Wang, 2015. "The Perturbed Sparre Andersen Model with Interest and a Threshold Dividend Strategy," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 251-283, June.
  40. Jim (Junmin) Shi & Michael N. Katehakis & Benjamin Melamed & Yusen Xia, 2014. "Production-Inventory Systems with Lost Sales and Compound Poisson Demands," Operations Research, INFORMS, vol. 62(5), pages 1048-1063, October.
  41. 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.
  42. 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;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 614-638, October.
  43. Brill, Percy H. & Yu, Kaiqi, 2011. "Analysis of risk models using a level crossing technique," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 298-309.
  44. Zhang, Yuanyuan & Wang, Wensheng, 2012. "Ruin probabilities of a bidimensional risk model with investment," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 130-138.
  45. Hélène Cossette & Etienne Marceau & Fouad Marri, 2011. "Constant Dividend Barrier in a Risk Model with a Generalized Farlie-Gumbel-Morgenstern Copula," Methodology and Computing in Applied Probability, Springer, vol. 13(3), pages 487-510, September.
  46. 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.
  47. Sendova, Kristina P. & Yang, Chen & Zhang, Ruixi, 2018. "Dividend barrier strategy: Proceed with caution," Statistics & Probability Letters, Elsevier, vol. 137(C), pages 157-164.
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