On a class of renewal risk models with a constant dividend barrier

By Shuanming Li, José Garrido. 2004

120 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/e021c2be3882e001b8b2019897f89c1fb838e62e

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Citations in the corpus

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 ”
The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model (2008, methodology): “This operator has been used for the integrable real-valued function in some papers, see, for example, Dickson and Hipp (2001) and Li and Garrido (2004).”
The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion (2006, background): “These references include B¨uhlmann (1970), Segerdahl (1970), Gerber (1973, 1979, 1981), Gerber (1979), Paulsen and Gjessing (1997), Albrecher and Kainhofer (2002), Højgaard (2002), Lin et al. (2003), Dickson and Waters (2004), Li and Garrido (2004), and Albrecher et al. (2005).”
The Time Value of Ruin in a Sparre Andersen Model (2005, background): “See also Li and Garrido (2004).”
The compound Poisson risk model with a threshold dividend strategy (2006, methodology): “Section 2 recalls properties of the translation operator, first employed for risk processes by Dickson and Hipp (2001) and recently discussed by Li and Garrido (2004a) and Gerber and Shiu (2005b).”
On a Classical Risk Model with a Constant Dividend Barrier (2005, background): “Work on renewal risk models with a constant dividend barrier can be found in Li and Garrido (2004) and Albrecher, Claramunt, and Mármol (2005).”