The Perturbed Sparre Andersen Model with Interest and a Threshold Dividend Strategy
| LEADER | caa a22 4500 | ||
|---|---|---|---|
| 001 | 605519900 | ||
| 003 | CHVBK | ||
| 005 | 20210128100732.0 | ||
| 007 | cr unu---uuuuu | ||
| 008 | 210128e20150601xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.1007/s11009-013-9332-0 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11009-013-9332-0 | ||
| 100 | 1 | |a Wang |D Wei |u College of Mathematical Science, Tianjin Normal University, 300387, Tianjin, China |4 aut | |
| 245 | 1 | 4 | |a The Perturbed Sparre Andersen Model with Interest and a Threshold Dividend Strategy |h [Elektronische Daten] |c [Wei Wang] |
| 520 | 3 | |a In this paper, we consider a Sparre Andersen model perturbed by diffusion (in which the inter-claim times are generalized Erlang(n)-distributed) with a constant interest under a threshold dividend payment strategy. Under such a strategy, no dividends are paid if the insurer's surplus is below a certain threshold level. When the surplus is above the threshold level, part of the premium income and all of the interest income are paid out as dividends. Integro-differential equations with certain boundary conditions for the moment generating functions and moment functions of the present value of all dividends until ruin are derived. We also derive the integro-differential equations with boundary conditions for the Gerber-Shiu functions. Explicit expressions are given in terms of some functions related to high order integro-differential equations when the inter-claim times are Erlang(2) and Erlang(1) distributed. | |
| 540 | |a Springer Science+Business Media New York, 2013 | ||
| 690 | 7 | |a Gerber-Shiu function |2 nationallicence | |
| 690 | 7 | |a Moment generating function |2 nationallicence | |
| 690 | 7 | |a Threshold dividend strategy |2 nationallicence | |
| 690 | 7 | |a Integro-differential equation |2 nationallicence | |
| 773 | 0 | |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/2(2015-06-01), 251-283 |x 1387-5841 |q 17:2<251 |1 2015 |2 17 |o 11009 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11009-013-9332-0 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11009-013-9332-0 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 100 |E 1- |a Wang |D Wei |u College of Mathematical Science, Tianjin Normal University, 300387, Tianjin, China |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/2(2015-06-01), 251-283 |x 1387-5841 |q 17:2<251 |1 2015 |2 17 |o 11009 | ||