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

Authors:
Zhimin Zhang
Affiliations:
-
Venue:
Journal of Computational and Applied Mathematics
Year:
2014

Citing 4
Cited 1

The expectation of aggregate discounted dividends for a Sparre Anderson risk process perturbed by diffusion: Research Articles

Applied Stochastic Models in Business and Industry
The perturbed Sparre Andersen model with a threshold dividend strategy

Journal of Computational and Applied Mathematics
On the renewal risk model under a threshold strategy

Journal of Computational and Applied Mathematics
Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times

Journal of Computational and Applied Mathematics

On a discrete-time risk model with general income and time-dependent claims

Journal of Computational and Applied Mathematics

Quantified Score

Hi-index	7.29

Visualization

Abstract

In this paper, we consider a Sparre Andersen risk model perturbed by a Brownian motion, where the individual claim sizes are dependent on the interclaim times. We assume that dividends are paid off under a threshold strategy. Integral and integro-differential equations satisfied by the Gerber-Shiu functions are obtained, and a solution procedure is also proposed.