Macro-economic influences on the crossing of dividend barriers

DOI10.1080/03461238.1988.10413849zbMath0668.62073OpenAlexW2156541586MaRDI QIDQ3821448

P. Boogaert, J. Haezendonck, Freddy Delbaen

Publication date: 1988

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1988.10413849

zbMATH Keywords

risk processPoisson processpresent valuesurplus processdividend barrierforce of interesteconomic environmentinflation index figuremartingale ruin time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE ⋮ Delay in claim settlement ⋮ Stochastic differential equations for compounded risk reserves

Cites Work

• Unnamed Item
• Classical risk theory in an economic environment
• Martingales in Markov processes applied to risk theory
• Limit theorems for the present value of the surplus of an insurance portfolio

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