An elementary approach to discrete models of dividend strategies

DOI10.1016/j.insmatheco.2009.09.010zbMath1231.91433OpenAlexW2009863690MaRDI QIDQ659189

Hailiang Yang, Hans U. Gerber, Elias S. W. Shiu

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/125409

zbMATH Keywords

optimal dividendsdividends-penalty identityband strategyLundberg equationpenalty at ruin

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Survival probabilities in a discrete semi-Markov risk model ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ On a discrete Markov-modulated risk model with random premium income and delayed claims ⋮ Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time ⋮ Optimal dividend strategy in compound binomial model with bounded dividend rates ⋮ On a discrete-time risk model with time-dependent claims and impulsive dividend payments ⋮ An optimal dividend strategy in the discrete Sparre Andersen model with bounded dividend rates ⋮ Unnamed Item ⋮ Expected discounted dividends in a discrete semi-Markov risk model ⋮ First passage problems for upwards skip-free random walks via the scale functions paradigm ⋮ On a discrete risk model with delayed claims and a randomized dividend strategy ⋮ Optimal dividend strategies in discrete risk model with capital injections

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