On a Classical Risk Model with a Constant Dividend Barrier

By Xiaowen Zhou. 2005

100 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/a998ddf3eeb9039a1ddb6eb6ba454375aad54da7

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Citations in the corpus

An Insurance Risk Model with Parisian Implementation Delays (2013, unknown): “Landriault (B) Department of Statistics and Actuarial Science, University of Waterloo, 200 University Avenue West, Waterloo, ON, N2L 3G1, Canada e-mail: dlandriault@uwaterloo.ca J.-F. Renaud Département de Mathématiques, Université du Québec à Montréal (UQAM), 201 av. Président-Kennedy, Montréal, QC”
On the optimal dividend problem for a spectrally negative Lévy process (2007, background): “Irbäck [14] and Zhou [26] study constant barriers under the model (1.”
A Risk Model with Multilayer Dividend Strategy (2007, background): “Laplace transforms of the first passage times across a given level before ruin are investigated in a perturbed risk model in Zhou (2004).”
Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory (2011, background): “…mathematics, the first passage problem is very important to the ruin problems; see, for example, among others, Yang and Zhang (2001), Klüppelberg et al. (2004), Huzak et al. (2004a, 2004b), Zhou (2005), Garrido and Morales (2006), Biffis and Kyprianou (2010) and Billis and Morales (2010).”
A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier (2006, background): “Formula (D.31) of Chan et al. (2006) contains a closed form expression for the Ck’s.”
On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008, unknown): “Besides finding the optimal strategy, a large body of literature exists [9, 12, 15, 16, 19, 23, 24, 25, 28, 32, 33] in which expressions are derived for, for example, the expected time of ruin, the moments of the expected paid out dividends and the Gerber–Shiu discounted penalty function, under the ”
A note on scale functions and the time value of ruin for Levy insurance risk processes (2010, unknown): “…(for example in the form of reflection or refraction strategies) and have proved to be key in understanding optimal barrier strategies (see: Zhou, 2005; Renaud and Zhou, 2007; Kyprianou and Palmowski, 2007; Albrecher, Renaud and Zhou, 2008; Kyprianou and Zhou, 2009; Loeffen, 2009;…”