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- Publisher Website: 10.1007/978-3-7908-2084-3_19
- Scopus: eid_2-s2.0-79957941225
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Conference Paper: The classical risk model with constant interest and threshold strategy
Title | The classical risk model with constant interest and threshold strategy |
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Authors | |
Keywords | Classical risk model Dividend payments Threshold strategy |
Issue Date | 2008 |
Publisher | Physica-Verlag HD |
Citation | COMPSTAT 2008, Porto, Portugal, 24-29 August 2008. In COMSTAT 2008, 2008, pt. 7, p. 229-240 How to Cite? |
Abstract | In recent years, insurance risk models with dividend payments have been studied extensively. The threshold dividend strategy assumes that dividends are paid out at the maximal admissible rate whenever the surplus exceeds a certain threshold. In this paper, we consider the classical risk model with constant interest under the threshold strategy. We derive integro-differential equations for the expected discounted penalty function. In some special cases with exponential claims, we are able to obtain closed-form expressions for the expected discounted penalty function. |
Persistent Identifier | http://hdl.handle.net/10722/63167 |
ISBN |
DC Field | Value | Language |
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dc.contributor.author | Dong, Y | en_HK |
dc.contributor.author | Yuen, KC | en_HK |
dc.date.accessioned | 2010-07-13T04:17:33Z | - |
dc.date.available | 2010-07-13T04:17:33Z | - |
dc.date.issued | 2008 | en_HK |
dc.identifier.citation | COMPSTAT 2008, Porto, Portugal, 24-29 August 2008. In COMSTAT 2008, 2008, pt. 7, p. 229-240 | - |
dc.identifier.isbn | 978-3-7908-2083-6 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/63167 | - |
dc.description.abstract | In recent years, insurance risk models with dividend payments have been studied extensively. The threshold dividend strategy assumes that dividends are paid out at the maximal admissible rate whenever the surplus exceeds a certain threshold. In this paper, we consider the classical risk model with constant interest under the threshold strategy. We derive integro-differential equations for the expected discounted penalty function. In some special cases with exponential claims, we are able to obtain closed-form expressions for the expected discounted penalty function. | - |
dc.language | eng | en_HK |
dc.publisher | Physica-Verlag HD | - |
dc.relation.ispartof | COMPSTAT 2008: Proceedings in Computational Statistics | - |
dc.subject | Classical risk model | - |
dc.subject | Dividend payments | - |
dc.subject | Threshold strategy | - |
dc.title | The classical risk model with constant interest and threshold strategy | en_HK |
dc.type | Conference_Paper | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=978-3-7908-2083-6&volume=&spage=&epage=&date=2008&atitle=The+classical+risk+model+with+constant+interest+and+threshold+strategy | en_HK |
dc.identifier.email | Yuen, KC: kcyuen@hkusua.hku.hk | en_HK |
dc.identifier.authority | Yuen, KC=rp00836 | en_HK |
dc.identifier.doi | 10.1007/978-3-7908-2084-3_19 | - |
dc.identifier.scopus | eid_2-s2.0-79957941225 | - |
dc.identifier.hkuros | 149934 | en_HK |
dc.identifier.issue | pt. 7 | - |
dc.identifier.spage | 229 | - |
dc.identifier.epage | 240 | - |