Band strategies: The random walk of reserves

DOI10.1007/BF02808938zbMath0418.62086OpenAlexW1554165686MaRDI QIDQ3851491

Marc Hallin

Publication date: 1979

Published in: Blätter der DGVFM (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02808938

zbMATH Keywords

actuarial mathematicssystem of integrodifferential equationsdistribution of reservesfinite band strategyrandom walk of reserves

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50)

Related Items (4)

Dividend problem with Parisian delay for a spectrally negative Lévy risk process ⋮ Optimal strategies in a game of economic survival ⋮ Optimal investment-dividend policy of an insurance firm under regulation ⋮ On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function

Cites Work

• One‐person games of economic survival
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