On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier

DOI10.1080/03461230510006946zbMath1092.91036OpenAlexW2080450745MaRDI QIDQ5467652

Jürgen Hartinger, Robert F. Tichy, Hansjoerg Albrecher

Publication date: 24 May 2006

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

Full work available at URL: https://doi.org/10.1080/03461230510006946

zbMATH Keywords

collective modelsurplus prior to ruintime of ruinlinear dividend barrierclassical risk theory

Mathematics Subject Classification ID

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Cites Work

• Unnamed Item
• Risk theory with a nonlinear dividend barrier
• Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
• Controlled diffusion models for optimal dividend pay-out
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Simulation methods in ruin models with nonlinear dividend barriers.
• Some Optimal Dividends Problems
• Optimal Dividends
• On the Time Value of Ruin

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