File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1016/j.cam.2008.10.049
- Scopus: eid_2-s2.0-67349220718
- WOS: WOS:000267237500003
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: On the renewal risk model under a threshold strategy
Title | On the renewal risk model under a threshold strategy |
---|---|
Authors | |
Keywords | Dividend Payment Gerber-Shiu Expected Discounted Penalty Function Integral Equation Integro-Differential Equation Renewal Risk Process Threshold Strategy |
Issue Date | 2009 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/cam |
Citation | Journal Of Computational And Applied Mathematics, 2009, v. 230 n. 1, p. 22-33 How to Cite? |
Abstract | In this paper, we consider the renewal risk process under a threshold dividend payment strategy. For this model, the expected discounted dividend payments and the Gerber-Shiu expected discounted penalty function are investigated. Integral equations, integro-differential equations and some closed form expressions for them are derived. When the claims are exponentially distributed, it is verified that the expected penalty of the deficit at ruin is proportional to the ruin probability. © 2008 Elsevier B.V. All rights reserved. |
Persistent Identifier | http://hdl.handle.net/10722/172461 |
ISSN | 2023 Impact Factor: 2.1 2023 SCImago Journal Rankings: 0.858 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Dong, Y | en_US |
dc.contributor.author | Wang, G | en_US |
dc.contributor.author | Yuen, KC | en_US |
dc.date.accessioned | 2012-10-30T06:22:38Z | - |
dc.date.available | 2012-10-30T06:22:38Z | - |
dc.date.issued | 2009 | en_US |
dc.identifier.citation | Journal Of Computational And Applied Mathematics, 2009, v. 230 n. 1, p. 22-33 | en_US |
dc.identifier.issn | 0377-0427 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172461 | - |
dc.description.abstract | In this paper, we consider the renewal risk process under a threshold dividend payment strategy. For this model, the expected discounted dividend payments and the Gerber-Shiu expected discounted penalty function are investigated. Integral equations, integro-differential equations and some closed form expressions for them are derived. When the claims are exponentially distributed, it is verified that the expected penalty of the deficit at ruin is proportional to the ruin probability. © 2008 Elsevier B.V. All rights reserved. | en_US |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/cam | en_US |
dc.relation.ispartof | Journal of Computational and Applied Mathematics | en_US |
dc.subject | Dividend Payment | en_US |
dc.subject | Gerber-Shiu Expected Discounted Penalty Function | en_US |
dc.subject | Integral Equation | en_US |
dc.subject | Integro-Differential Equation | en_US |
dc.subject | Renewal Risk Process | en_US |
dc.subject | Threshold Strategy | en_US |
dc.title | On the renewal risk model under a threshold strategy | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | en_US |
dc.identifier.authority | Yuen, KC=rp00836 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1016/j.cam.2008.10.049 | en_US |
dc.identifier.scopus | eid_2-s2.0-67349220718 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-67349220718&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 230 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 22 | en_US |
dc.identifier.epage | 33 | en_US |
dc.identifier.isi | WOS:000267237500003 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Dong, Y=23969884300 | en_US |
dc.identifier.scopusauthorid | Wang, G=7407152599 | en_US |
dc.identifier.scopusauthorid | Yuen, KC=7202333703 | en_US |
dc.identifier.issnl | 0377-0427 | - |