Obtaining the dividends-penalty identities by interpretation
From MaRDI portal
Publication:661238
DOI10.1016/j.insmatheco.2010.04.008zbMath1231.91487MaRDI QIDQ661238
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.04.008
91G70: Statistical methods; risk measures
Related Items
Statistical estimation for some dividend problems under the compound Poisson risk model, Lévy risk model with two-sided jumps and a barrier dividend strategy, A Direct Approach to the Discounted Penalty Function
Cites Work
- The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
- The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
- A Direct Approach to the Discounted Penalty Function
- A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier