Asymptotic Theory for a Risk Process with a High Dividend Barrier

DOI10.1080/03461230110106345zbMath1092.91043OpenAlexW2086493310MaRDI QIDQ5467672

Johan Irbäck

Publication date: 24 May 2006

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230110106345

zbMATH Keywords

risk processasymptotic theorycompound Poisson processexponentially distributed claimshigh dividend barrier

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characteristic functions; other transforms (60E10) Queueing theory (aspects of probability theory) (60K25) Characterization and structure theory of statistical distributions (62E10)

Related Items (15)

Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest ⋮ On the optimal dividend problem for insurance risk models with surplus-dependent premiums ⋮ Lévy risk model with two-sided jumps and a barrier dividend strategy ⋮ Asymptotic analysis of a risk process with high dividend barrier ⋮ Asymptotic theory for a risk process with a high dividend barrier ⋮ De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process ⋮ On the optimal dividend problem for a spectrally negative Lévy process ⋮ Optimal Dividends ⋮ Dividend problem with Parisian delay for a spectrally negative Lévy risk process ⋮ On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes ⋮ Hysteretic Capacity Switching for M/G/1 Queues ⋮ On the expected time to ruin and the expected dividends when dividends are paid while the surplus is above a constant barrier ⋮ Optimal dividend payments for a two-dimensional insurance risk process ⋮ The expected time to ruin in a risk process with constant barrier via martingales ⋮ Strategies for Dividend Distribution: A Review

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