On a perturbed Sparre Andersen risk model with multi-layer dividend strategy
نویسندگان
چکیده
منابع مشابه
Optimal Dividend and Investment Problems under Sparre Andersen Model
In this paper we study a class of optimal dividend and investment problems assuming that the underlying reserve process follows the Sparre Andersen model, that is, the claim frequency is a “renewal” process, rather than a standard compound Poisson process. The main feature of such problems is that the underlying reserve dynamics, even in its simplest form, is no longer Markovian. By using the b...
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For the classical Cramér-Lundberg risk model, a dividend strategy of threshold type has recently been suggested in the literature. This strategy consists of paying out part of the premium income as dividends to shareholders whenever the free surplus is above a given threshold level. In contrast to the well-known horizontal barrier strategy, the threshold strategy can lead to a positive infinite...
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The Sparre-Andersen theorem is a remarkable result in one-dimensional random walk theory concerning the universality of the ubiquitous first-passage-time distribution. It states that the probability distribution ρ(n) of the number of steps needed for a walker starting at the origin to land on the positive semiaxes does not depend on the details of the distribution for the jumps of the walker, p...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2009
ISSN: 0377-0427
DOI: 10.1016/j.cam.2009.06.032