On the threshold dividend strategy for a generalized jump–diffusion risk model

2011 ◽  
Vol 48 (3) ◽  
pp. 326-337 ◽  
Author(s):  
Yichun Chi ◽  
X. Sheldon Lin
Keyword(s):  
Risk Model ◽  
Jump Diffusion ◽  
Threshold Dividend Strategy

scholarly journals The Perturbed Dual Risk Model with Constant Interest and a Threshold Dividend Strategy

2013 ◽  
Vol 2013 ◽  
pp. 1-9 ◽  
Author(s):  
Fanzi Zeng ◽  
Jisheng Xu
Keyword(s):  
Ruin Probability ◽  
Risk Model ◽  
Present Value ◽  
Numerical Examples ◽  
Threshold Dividend Strategy ◽  
Absolute Ruin ◽  
Dual Risk Model ◽  
The Moment ◽  
The Impact ◽  
Constant Interest

We consider the perturbed dual risk model with constant interest and a threshold dividend strategy. Firstly, we investigate the moment-generation function of the present value of total dividends until ruin. Integrodifferential equations with certain boundary conditions are derived for the present value of total dividends. Furthermore, using techniques of sinc numerical methods, we obtain the approximation results to the expected present value of total dividends. Finally, numerical examples are presented to show the impact of interest on the expected present value of total dividends and the absolute ruin probability.

scholarly journals Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes

2019 ◽  
Vol 56 (4) ◽  
pp. 1244-1268 ◽  
Author(s):  
Pierre-Olivier Goffard ◽  
Andrey Sarantsev
Keyword(s):  
Convergence Rate ◽  
Ruin Probability ◽  
Lyapunov Functions ◽  
Risk Model ◽  
Exponential Convergence ◽  
Jump Diffusion ◽  
Ruin Probabilities ◽  
Exponential Rate ◽  
Risk Processes

AbstractWe find explicit estimates for the exponential rate of long-term convergence for the ruin probability in a level-dependent Lévy-driven risk model, as time goes to infinity. Siegmund duality allows us to reduce the problem to long-term convergence of a reflected jump-diffusion to its stationary distribution, which is handled via Lyapunov functions.

scholarly journals The Absolute Ruin Insurance Risk Model with a Threshold Dividend Strategy

Symmetry ◽  
2018 ◽  
Vol 10 (9) ◽  
pp. 377 ◽  
Author(s):  
Wenguang Yu ◽  
Yujuan Huang ◽  
Chaoran Cui
Keyword(s):  
Risk Model ◽  
Insurance Companies ◽  
Insurance Company ◽  
Insurance Risk ◽  
Threshold Dividend Strategy ◽  
Dividend Payments ◽  
Absolute Ruin ◽  
The Absolute ◽  
Debit Interest ◽  
Insurance Risk Model

The absolute ruin insurance risk model is modified by including some valuable market economic information factors, such as credit interest, debit interest and dividend payments. Such information is especially important for insurance companies to control risks. We further assume that the insurance company is able to finance and continue to operate when its reserve is negative. We investigate the integro-differential equations for some interest actuarial diagnostics. We also provide numerical examples to explain the effects of relevant parameters on actuarial diagnostics.

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