Author:
Dickson David C.M.,Waters Howard R.
Abstract
We consider a situation originally discussed by De Finetti (1957) in which a surplus process is modified by the introduction of a constant dividend barrier. We extend some known results relating to the distribution of the present value of dividend payments until ruin in the classical risk model and show how a discrete time risk model can be used to provide approximations when analytic results are unavailable. We extend the analysis by allowing the process to continue after ruin.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Reference17 articles.
1. Optimal Dividends
2. A process with stochastic claim frequency and a linear dividend barrier;Siegl;Insurance: Mathematics and Economics,1999
3. Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
Cited by
80 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献