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Article: On the renewal risk model under a threshold strategy

TitleOn the renewal risk model under a threshold strategy
Authors
Dong, YWang, GYuen, KC
KeywordsDividend Payment
Gerber-Shiu Expected Discounted Penalty Function
Integral Equation
Integro-Differential Equation
Renewal Risk Process
Threshold Strategy
Issue Date2009
PublisherElsevier 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?
DOI: http://dx.doi.org/10.1016/j.cam.2008.10.049
AbstractIn 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 Identifierhttp://hdl.handle.net/10722/172461
ISSN
0377-0427
2023 Impact Factor: 2.1
2023 SCImago Journal Rankings: 0.858
ISI Accession Number ID
WOS:000267237500003
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorDong, Yen_US
dc.contributor.authorWang, Gen_US
dc.contributor.authorYuen, KCen_US
dc.date.accessioned2012-10-30T06:22:38Z-
dc.date.available2012-10-30T06:22:38Z-
dc.date.issued2009en_US
dc.identifier.citationJournal Of Computational And Applied Mathematics, 2009, v. 230 n. 1, p. 22-33en_US
dc.identifier.issn0377-0427en_US
dc.identifier.urihttp://hdl.handle.net/10722/172461-
dc.description.abstractIn 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.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/camen_US
dc.relation.ispartofJournal of Computational and Applied Mathematicsen_US
dc.subjectDividend Paymenten_US
dc.subjectGerber-Shiu Expected Discounted Penalty Functionen_US
dc.subjectIntegral Equationen_US
dc.subjectIntegro-Differential Equationen_US
dc.subjectRenewal Risk Processen_US
dc.subjectThreshold Strategyen_US
dc.titleOn the renewal risk model under a threshold strategyen_US
dc.typeArticleen_US
dc.identifier.emailYuen, KC: kcyuen@hku.hken_US
dc.identifier.authorityYuen, KC=rp00836en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/j.cam.2008.10.049en_US
dc.identifier.scopuseid_2-s2.0-67349220718en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-67349220718&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume230en_US
dc.identifier.issue1en_US
dc.identifier.spage22en_US
dc.identifier.epage33en_US
dc.identifier.isiWOS:000267237500003-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridDong, Y=23969884300en_US
dc.identifier.scopusauthoridWang, G=7407152599en_US
dc.identifier.scopusauthoridYuen, KC=7202333703en_US
dc.identifier.issnl0377-0427-

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