Asymptotic Theory for a Risk Process with a High Dividend Barrier

DOI10.1080/03461230110106345MaRDI QIDQ5467672zbMATH OpenOpenAlexFDO

Authors Johan Irbäck

Publication date 24 May 2006

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

Full work available at URL https://doi.org/10.1080/03461230110106345

zbMATH Keywords

asymptotic theorycompound Poisson processexponentially distributed claimshigh dividend barrierrisk process

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Queueing theory (aspects of probability theory) (60K25) Characterization and structure theory of statistical distributions (62E10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(17)

• Dividend problem with Parisian delay for a spectrally negative Lévy risk process
• Optimal dividend payments for a two-dimensional insurance risk process
• Lévy risk model with two-sided jumps and a barrier dividend strategy
• On the optimal dividend problem for a spectrally negative Lévy process
• The expected time to ruin in a risk process with constant barrier via martingales
• On the optimal dividend problem for insurance risk models with surplus-dependent premiums
• De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
• On the expected time to ruin and the expected dividends when dividends are paid while the surplus is above a constant barrier
• Macro-economic influences on the crossing of dividend barriers
• scientific article; zbMATH DE number 2147965 (Why is no real title available?)
• Strategies for dividend distribution: a review
• Hysteretic Capacity Switching for M/G/1 Queues
• Optimal Dividends
• Asymptotic analysis of a risk process with high dividend barrier
• Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest
• Asymptotic theory for a risk process with a high dividend barrier
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes

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