Simulation methods in ruin models with non-linear dividend barriers

Author:

Albrecher Hansjörg,Kainhofer Reinhold,Tichy Robert F.

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science

Reference18 articles.

1. S. Asmussen, Ruin Probabilities, World Scientific, Singapore, 2000.

2. H. Bühlmann, Mathematical Methods in Risk Theory, Springer, New York, 1970.

3. H.U. Gerber, The dilemma between dividends and safety and a generalization of the Lundberg-Cramér formulas, Scand. Actuarial J. (1974) 46–57.

4. Optimal choice of dividend barriers for a risk process with stochastic return on investments;Paulsen;Insurance Math. Econom.,1997

5. H.U. Gerber, Martingales in risk theory, Mitteilungen der Schweizer Vereinigung der Versicherungsmathematiker (1973) 205–216.

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