Methods for estimating the optimal dividend barrier and the probability of ruin
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Publication:939357
DOI10.1016/j.insmatheco.2007.02.002zbMath1141.91513OpenAlexW2134864319MaRDI QIDQ939357
Elias S. W. Shiu, Hans U. Gerber, Nathaniel J. Smith
Publication date: 22 August 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.02.002
Lévy processesruin probabilitydiffusion approximationsgamma processessubordinatorsLundberg's fundamental equationde Vylder approximationsLundberg functionoptimal dividend barrier
Stopping times; optimal stopping problems; gambling theory (60G40) Corporate finance (dividends, real options, etc.) (91G50)
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