The Dividend Problem in a Diffusive Stochastic Model

DOI10.1007/BF02808356zbMath0910.90007MaRDI QIDQ4219949

Marilena Sibillo, Emilia Di Lorenzo

Publication date: 11 November 1998

Published in: Blätter der DGVFM (Search for Journal in Brave)

zbMATH Keywords

financial riskinvestment riskdiffusive stochastic modelportfolio of life insurance policies

Mathematics Subject Classification ID

Cites Work

• Aspects of risk theory
• On the probability of ruin in the presence of a linear dividend barrier
• Optimal dividend policy
• The dilemma between dividends and safety and a generalization of the Lundberg-Cramér formulas
• Optimal reinsurance
• Stochastic Analysis of the Interaction Between Investment and Insurance Risks
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