Risk theory with a nonlinear dividend barrier

Authors:
H. Albrecher;R. Kainhofer
Affiliations:
Department of Mathematics, Graz University of Technology, Steyrergasse 30, 8010 Graz, Austria;Department of Mathematics, Graz University of Technology, Steyrergasse 30, 8010 Graz, Austria
Venue:
Computing
Year:
2002

Citing 2
Cited 7

Random number generation and quasi-Monte Carlo methods

Random number generation and quasi-Monte Carlo methods
Numerical Recipes in C: The Art of Scientific Computing

Numerical Recipes in C: The Art of Scientific Computing

Simulation methods in ruin models with non-linear dividend barriers

Mathematics and Computers in Simulation - Special issue: 3rd IMACS seminar on Monte Carlo methods - MCM 2001
Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier

Queueing Systems: Theory and Applications
The perturbed Sparre Andersen model with a threshold dividend strategy

Journal of Computational and Applied Mathematics
Stochastic successive approximation method for assessing the insolvency risk of an insurance company

Cybernetics and Systems Analysis
On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy

Journal of Computational and Applied Mathematics
The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy

Journal of Computational and Applied Mathematics
The idle period of the finite G/M/1 queue with an interpretation in risk theory

Queueing Systems: Theory and Applications

Quantified Score

Hi-index	0.00

Visualization

Abstract

In the framework of classical risk theory we investigate a surplus process in the presence of a nonlinear dividend barrier and derive equations for two characteristics of such a process, the probability of survival and the expected sum of discounted dividend payments. Number-theoretic solution techniques are developed for approximating these quantities and numerical illustrations are given for exponential claim sizes and a parabolic dividend barrier.