Finite-time dividend-ruin models

DOI10.1016/j.insmatheco.2007.01.014zbMath1141.91525OpenAlexW3123916708WikidataQ60148447 ScholiaQ60148447MaRDI QIDQ939344

Seng Yuen Leung, Kwai Sun Leung, Yue Kuen Kwok

Publication date: 22 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.01.014

zbMATH Keywords

survival probabilitydividend payoutsdividend-ruin modelreflecting and absorbing barriers

Mathematics Subject Classification ID

Related Items (6)

Robust willow tree method under Lévy processes ⋮ Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process ⋮ Pricing maturity guarantee with dynamic withdrawal benefit ⋮ Optimal asset control of a geometric Brownian motion with the transaction costs and bankruptcy permission ⋮ Review of statistical actuarial risk modelling ⋮ Strategies for Dividend Distribution: A Review

Cites Work

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• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• First passage time distribution of a Wiener process with drift concerning two elastic barriers
• Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends

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