“Optimal Dividends: Analysis with Brownian Motion,” Ana C. Cebrián, Hans U. Gerber and Elias S.W. Shiu, January 2004

DOI10.1080/10920277.2004.10596141zbMath1085.62506OpenAlexW2253591600MaRDI QIDQ5715970

Olivier Deprez, Hansjoerg Albrecher

Publication date: 6 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2004.10596141

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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On optimal dividends: from reflection to refraction ⋮ On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times

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