Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
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Publication:5715918
DOI10.1080/10920277.2003.10596099zbMath1084.91517OpenAlexW1809807636MaRDI QIDQ5715918
Hans U. Gerber, Elias S. W. Shiu
Publication date: 5 January 2006
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2003.10596099
Brownian motion (60J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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Cites Work
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- Risk theory with a nonlinear dividend barrier
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- Optimal choice of dividend barriers for a risk process with stochastic return on investments
- Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
- Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
- Pricing Perpetual Fund Protection with Withdrawal Option
- Pricing Dynamic Investment Fund Protection
- On the Time Value of Ruin
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