Randomized Observation Periods for the Compound Poisson Risk Model: Dividends

By HANSJ¨ORG Albrecher, Eric C. K. Cheung, Stefan Thonhauser. 2011

127 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/98d14f2f9a986fc5e9238f6e51128282a1b194cc

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Xiaowen Zhou
2. Hailiang Yang
3. Hans U. Gerber
4. E. Shiu
5. Hansjörg Albrecher *
6. Bin Li
7. Yongxia Zhao
8. Ping Chen

In Finance

1. Xiaowen Zhou
2. Hailiang Yang
3. Hans U. Gerber
4. Bin Li
5. E. Shiu
6. Hansjörg Albrecher *
7. Yongxia Zhao
8. Ping Chen

In Management Science and Operations Research

1. Xiaowen Zhou
2. Hailiang Yang
3. Hansjörg Albrecher *
4. Bin Li
5. Hans U. Gerber
6. E. Shiu
7. Yongxia Zhao
8. Ping Chen

Citations in the corpus

• Randomized observation periods for the compound Poisson risk model: the discounted penalty function (2013, background): “In the sequel paper (Albrecher et al. 2010), we will investigate the effects of random observation times on the performance of dividend strategies.”
• Exit identities for L\'evy processes observed at Poisson arrival times (2014, unknown): “This expression is similar to [1], Equation (24), but not identical, because there the dividends are paid at Poissonian times only (see also [8] for a spectrally positive model setup).”
• The Omega model: from bankruptcy to occupation times in the red (2012, unknown): “[2, 3].”
• The optimal dividend barrier in the Gamma–Omega model (2011, methodology): “[2], where a compound Poisson process with exponential jumps was considered.”
• The Joint Laplace Transforms for Diffusion Occupation Times (2013, background): “Unfortunately, it is not apparent that the ruin probability for this general risk model with Erlang(n) interarrival times in [2] and [3] can be associated to the occupation times in a nice way due to the lack-of-memoryless property.”
• Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes (2017, methodology): “Albrecher et al. (2011a) studied the random inter-dividend-decision times in the Cramér-Lundberg model, where the ruin can not occur between dividend payment times. Continuous monitoring of solvency with periodic dividends were considered by Albrecher et al. (2011b) in the Brownian risk model, Avanz”
• On a Periodic Dividend Barrier Strategy in the Dual Model with Continuous Monitoring of Solvency (2013, unknown): “The root ργ+δ corresponds to the notation ργ in Albrecher et al. (2011a, 2012).”