The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function

By X. Lin, Gordon E. Willmot, Steve Drekic. 2003

240 citations recorded by the source corpus.

Subfields: Demography, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/dcfb6cbb9e9b032bcff3a176703ba4fbbd0f3b60

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Citations in the corpus

On a Classical Risk Model with a Constant Dividend Barrier (2005, methodology): “Such an expression was obtained in ex-b T b [e U0 pression (6.3) of Lin, Willmot, and Drekic (2003).”
The perturbed Sparre Andersen model with a threshold dividend strategy (2008, methodology): “The analysis of the discounted penalty function in [21] was recently generalized to a Sparre Andersen risk model with generalized Erlang(n)-distributed inter-claim times by [19], and a corresponding generalization of the results on the distribution of dividend payments has been studied by Albrecher ”
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 ”
Some Optimal Dividends Problems (2004, methodology): “Properties of a more general version of the function n(u,b) are discussed in detail by Lin et al (2003).”
Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process (2007, methodology): “Once we prove (i), the proofs of (ii) and (iii) go through as in Rivero (2003). To this end, we recall from Equation (8.”
Optimal Dividends (2004, background): “…Gjessing (1997), Gerber and Shiu (1998, 2003a,b), Højgaard and Taksar (1999), Jeanblanc-Picqué and Shiryaev (1995), Siegl and Tichy (1999), Albrecher and Kainhofer (2002), Bühlmann (2002), Højgaard (2002), Claramunt, Mármol, and Alegre (2003), Irbäck (2003), and Lin, Willmot, and Drekic (2003).”
On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier (2005, unknown): “[18].”
On the discounted penalty function in the renewal risk model with general interclaim times (2007, unknown): “To prove (3.5), it follows by conditioning on the time (t) and the amount (y) of the first claim (e.g. Lin et al, 2003) that Gδ(u) = ∞ ∫ 0 e−δt e−β(u+ct) + u+ct ∫ 0 Gδ(u + ct − y)βe −βydy dK(t).”
A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier (2006, methodology): “Surplus processes with barrier dividend strategies were considered in Bühlmann (1970), Gerber and Shiu (1998), Lin et al. (2003), Li and Garrido (2004), Albrecher et al. (2005), Frostig (2005), Yuen et al. (2005), to name a few.”
The compound Poisson risk model with a threshold dividend strategy (2006, methodology): “We thus provide a generalization of the model and results in Lin et al. (2003) .”