An elementary approach to discrete models of dividend strategies

DOI10.1016/j.insmatheco.2009.09.010zbMath1231.91433MaRDI QIDQ659189

Hailiang Yang, Hans U. Gerber, Elias S. W. Shiu

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 dividends; dividends-penalty identity; band strategy; Lundberg equation; penalty at ruin

Mathematics Subject Classification ID

60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)

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