๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence

โœ Scribed by Zhang, Zhimin

Book ID
122279762
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
859 KB
Volume
255
Category
Article
ISSN
0377-0427

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

The perturbed Sparre Andersen model with
The perturbed Sparre Andersen model with a threshold dividend strategy
โœ Heli Gao; Chuancun Yin ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 207 KB

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

On a perturbed Sparre Andersen risk mode
On a perturbed Sparre Andersen risk model with multi-layer dividend strategy
โœ Hu Yang; Zhimin Zhang ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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