Obtaining the dividends-penalty identities by interpretation

DOI10.1016/J.INSMATHECO.2010.04.008zbMath1231.91487OpenAlexW1999281155MaRDI QIDQ661238

Hailiang Yang, Hans U. Gerber

Publication date: 10 February 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.04.008

zbMATH Keywords

barrier strategydividendsdiscounted penalty functionpenalty identitytwo-sided jump model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (3)

Lévy risk model with two-sided jumps and a barrier dividend strategy ⋮ Statistical estimation for some dividend problems under the compound Poisson risk model ⋮ A Direct Approach to the Discounted Penalty Function

Cites Work

• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• A Direct Approach to the Discounted Penalty Function
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier

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