In this paper, we consider a Sparre Andersen model perturbed by diffusion with generalized Erlang(n)-distributed inter-claim times and a threshold dividend strategy. Integro-differential equations with certain boundary conditions for the moment-generation function and the mth moment of the present v
β¦ LIBER β¦
Dividend-reinsurance strategy in the Sparre Andersen model
β Scribed by Ji Yang Tan, Lin Xiao, Shao Yue Liu, Xiang Qun Yang
- Book ID
- 118792053
- Publisher
- Institute of Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
- Year
- 2012
- Tongue
- English
- Weight
- 217 KB
- Volume
- 29
- Category
- Article
- ISSN
- 1439-7617
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
The perturbed Sparre Andersen model with
β
Heli Gao; Chuancun Yin
π
Article
π
2008
π
Elsevier Science
π
English
β 207 KB
Optimal investment and proportional rein
β
Zhibin Liang, Junyi Guo
π
Article
π
2012
π
Academy of Mathematics and Systems Science, Chines
π
English
β 314 KB
On a perturbed Sparre Andersen risk mode
β
Hu Yang; Zhimin Zhang
π
Article
π
2009
π
Elsevier Science
π
English
β 758 KB
In this paper, we consider a perturbed Sparre Andersen risk model, in which the inter-claim times are generalized Erlang(n) distributed. Under the multi-layer dividend strategy, piecewise integro-differential equations for the discounted penalty functions are derived, and a recursive approach is app
The distribution of total dividend payme
β
Shuanming Li; Yi Lu
π
Article
π
2009
π
Elsevier Science
π
English
β 434 KB
Ruin Analysis of a Threshold Strategy in
β
Steve Drekic; Ana Maria Mera
π
Article
π
2010
π
Springer US
π
English
β 420 KB
On the distribution of dividend payments
β
Hansjârg Albrecher; M.Mercè Claramunt; Maite MÑrmol
π
Article
π
2005
π
Elsevier Science
π
English
β 259 KB