𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The compound Poisson risk model with dependence under a multi-layer dividend strategy

✍ Scribed by Zhi-min Zhang; Hu Yang

Book ID
107501005
Publisher
SP Editorial Committee of Applied Mathematics - A Journal of Chinese Universities
Year
2011
Tongue
English
Weight
207 KB
Volume
26
Category
Article
ISSN
1005-1031

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

The perturbed compound Poisson risk mode
The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
✍ Shan Gao; Zaiming Liu πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 555 KB

Shiu discounted penalty function Integro-differential equation a b s t r a c t In this paper, we consider the compound Poisson risk model perturbed by diffusion with constant interest and a threshold dividend strategy. Integro-differential equations with certain boundary conditions for the moment-g

On a perturbed Sparre Andersen risk mode
On a perturbed Sparre Andersen risk model with multi-layer dividend strategy
✍ Hu Yang; Zhimin Zhang πŸ“‚ Article πŸ“… 2009 πŸ› Elsevier Science 🌐 English βš– 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 perturbed compound Poisson risk mode
The perturbed compound Poisson risk model with linear dividend barrier
✍ Donghai Liu; Zaiming Liu πŸ“‚ Article πŸ“… 2011 πŸ› Elsevier Science 🌐 English βš– 227 KB

In this paper, we consider a diffusion perturbed classical compound Poisson risk model in the presence of a linear dividend barrier. Partial integro-differential equations for the moment generating function and the nth moment of the present value of all dividends until ruin are derived. Moreover, ex