A note on moments of dividends

DOI10.1007/S10255-011-0074-XMaRDI QIDQ475678zbMATH OpenOpenAlexFDO

Authors Hansjörg Albrecher, H. U. Gerber

Publication date 27 November 2014

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://serval.unil.ch/resource/serval:BIB_FE00056E892B.P001/REF.pdf

zbMATH Keywords

barrier strategiesdividendsscale functionstationary Markov process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Moments of the discounted dividends in a threshold-typ Markovian risk process
• The moments of the discounted loss and the discounted dividends for a spectrally negative Lévy risk process
• A note on a Lévy insurance risk model under periodic dividend decisions
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• Moments of the discounted dividends and related problems in a Markov-dependent risk model

Cites work

• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
• Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
• Optimal Dividends

Cited in

(7)

• A note on a Lévy insurance risk model under periodic dividend decisions
• Statistical estimation for some dividend problems under the compound Poisson risk model
• The moments of the discounted loss and the discounted dividends for a spectrally negative Lévy risk process
• On a perturbed Sparre Andersen risk model with dividend barrier and dependence
• Infinite series expansion of some finite-time dividend and ruin related functions
• Nonparametric estimation of some dividend problems in the perturbed compound Poisson model
• Nonparametric estimation of some dividend and ruin related functions in a Lévy risk model

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