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The compound binomial model with randomized decisions on paying dividends

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  • Tan, Jiyang
  • Yang, Xiangqun

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  • Tan, Jiyang & Yang, Xiangqun, 2006. "The compound binomial model with randomized decisions on paying dividends," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 1-18, August.
    • Handle: RePEc:eee:insuma:v:39:y:2006:i:1:p:1-18
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    References listed on IDEAS

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    1. Willmot, Gordon E., 1993. "Ruin probabilities in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 12(2), pages 133-142, April.
    2. Cai, Jun, 2004. "Ruin probabilities and penalty functions with stochastic rates of interest," Stochastic Processes and their Applications, Elsevier, vol. 112(1), pages 53-78, July.
    3. Cheng, Shixue & Gerber, Hans U. & Shiu, Elias S. W., 2000. "Discounted probabilities and ruin theory in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 239-250, May.
    4. Gerber, Hans U., 1988. "Mathematical Fun with the Compound Binomial Process," ASTIN Bulletin, Cambridge University Press, vol. 18(2), pages 161-168, November.
    5. Cai, Jun & Dickson, David C. M., 2002. "On the expected discounted penalty function at ruin of a surplus process with interest," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 389-404, June.
    6. Dickson, David C.M., 1994. "Some Comments on the Compound Binomial Model," ASTIN Bulletin, Cambridge University Press, vol. 24(1), pages 33-45, May.
    7. Shiu, Elias S.W., 1989. "The Probability of Eventual Ruin in the Compound Binomial Model," ASTIN Bulletin, Cambridge University Press, vol. 19(2), pages 179-190, November.
    8. Gerber, Hans U. & Shiu, Elias S. W., 1997. "The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 129-137, November.
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    Cited by:

    1. Kim, Bara & Kim, Hwa-Sung & Kim, Jeongsim, 2008. "A risk model with paying dividends and random environment," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 717-726, April.
    2. Kam Pui Wat & Kam Chuen Yuen & Wai Keung Li & Xueyuan Wu, 2018. "On the Compound Binomial Risk Model with Delayed Claims and Randomized Dividends," Risks, MDPI, vol. 6(1), pages 1-13, January.
    3. He, Lei & Yang, Xiangqun, 2010. "The compound binomial model with randomly paying dividends to shareholders and policyholders," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 443-449, June.
    4. Geng, Xianmin & Wang, Ying, 2012. "The compound Pascal model with dividends paid under random interest," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1331-1336.
    5. Chen, Mi & Yuen, Kam Chuen & Guo, Junyi, 2014. "Survival probabilities in a discrete semi-Markov risk model," Applied Mathematics and Computation, Elsevier, vol. 232(C), pages 205-215.
    6. Steve Drekic & Ana Maria Mera, 2011. "Ruin Analysis of a Threshold Strategy in a Discrete-Time Sparre Andersen Model," Methodology and Computing in Applied Probability, Springer, vol. 13(4), pages 723-747, December.
    7. Aparna B. S & Neelesh S Upadhye, 2019. "On the Compound Beta-Binomial Risk Model with Delayed Claims and Randomized Dividends," Papers 1908.03407, arXiv.org.
    8. Zhou, Zhou & Jin, Zhuo, 2020. "Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 100-108.

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