On Risk Model with Dividends Payments Perturbed by a Brownian Motion – An Algorithmic Approach

DOI10.2143/AST.38.1.2030410zbMath1169.91389OpenAlexW4238365439MaRDI QIDQ3395770

Esther Frostig

Publication date: 13 September 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.38.1.2030410

zbMATH Keywords

stopping timeoptional sampling theoremWald martingaleKella and Whitt martingale

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (4)

Exit Problems for Reflected Markov-Modulated Brownian Motion ⋮ On the threshold dividend strategy for a generalized jump-diffusion risk model ⋮ Review of statistical actuarial risk modelling ⋮ Strategies for Dividend Distribution: A Review

Cites Work

• On a Classical Risk Model with a Constant Dividend Barrier
• Matrix‐analytic Models and their Analysis
• Applied Probability and Queues
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