File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Conference Paper: The classical risk model with constant interest and threshold strategy

TitleThe classical risk model with constant interest and threshold strategy
Authors
KeywordsClassical risk model
Dividend payments
Threshold strategy
Issue Date2008
PublisherPhysica-Verlag HD
Citation
COMPSTAT 2008, Porto, Portugal, 24-29 August 2008. In COMSTAT 2008, 2008, pt. 7, p. 229-240 How to Cite?
AbstractIn 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 Identifierhttp://hdl.handle.net/10722/63167
ISBN

 

DC FieldValueLanguage
dc.contributor.authorDong, Yen_HK
dc.contributor.authorYuen, KCen_HK
dc.date.accessioned2010-07-13T04:17:33Z-
dc.date.available2010-07-13T04:17:33Z-
dc.date.issued2008en_HK
dc.identifier.citationCOMPSTAT 2008, Porto, Portugal, 24-29 August 2008. In COMSTAT 2008, 2008, pt. 7, p. 229-240-
dc.identifier.isbn978-3-7908-2083-6en_HK
dc.identifier.urihttp://hdl.handle.net/10722/63167-
dc.description.abstractIn 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.languageengen_HK
dc.publisherPhysica-Verlag HD-
dc.relation.ispartofCOMPSTAT 2008: Proceedings in Computational Statistics-
dc.subjectClassical risk model-
dc.subjectDividend payments-
dc.subjectThreshold strategy-
dc.titleThe classical risk model with constant interest and threshold strategyen_HK
dc.typeConference_Paperen_HK
dc.identifier.openurlhttp://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+strategyen_HK
dc.identifier.emailYuen, KC: kcyuen@hkusua.hku.hken_HK
dc.identifier.authorityYuen, KC=rp00836en_HK
dc.identifier.doi10.1007/978-3-7908-2084-3_19-
dc.identifier.hkuros149934en_HK
dc.identifier.issuept. 7-
dc.identifier.spage229-
dc.identifier.epage240-

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats