A note on moments of dividends

DOI10.1007/S10255-011-0074-XzbMath1299.91052OpenAlexW1966802128MaRDI QIDQ475678

Hans U. Gerber, Hansjoerg Albrecher

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

scale functiondividendsstationary Markov processbarrier strategies

Mathematics Subject Classification ID

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

Related Items (5)

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

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

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