An elementary approach to discrete models of dividend strategies

DOI10.1016/J.INSMATHECO.2009.09.010MaRDI QIDQ659189zbMATH OpenOpenAlexFDO

Authors H. U. Gerber, E. S. W. Shiu, Hailiang Yang

Publication date 10 February 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10722/125409

zbMATH Keywords

optimal dividendsband strategydividends-penalty identityLundberg equationpenalty at ruin

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20)

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• On a class of discrete time renewal risk models
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• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function

Cited in

(19)

• Upper and lower bounds for dividends in the discrete model
• An optimal dividend strategy in the discrete Sparre Andersen model with bounded dividend rates
• Optimal dividend strategies in discrete risk model with capital injections
• Estimating discrete dividends by no-arbitrage
• On a discrete Markov-modulated risk model with random premium income and delayed claims
• Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• On a discrete-time risk model with time-dependent claims and impulsive dividend payments
• On a discrete risk model with delayed claims and a randomized dividend strategy
• Discounted dividends in a strategy with a step barrier function
• Fluctuations of an omega-type killed process in discrete time
• First passage problems for upwards skip-free random walks via the scale functions paradigm
• Survival probabilities in a discrete semi-Markov risk model
• Optimal dividend strategy in compound binomial model with bounded dividend rates
• Randomized dividends in a discrete risk model with time-correlated claims
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Expected discounted dividends in a discrete semi-Markov risk model
• Obtaining the dividends-penalty identities by interpretation
• Optimal dividend-payout in random discrete time

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