Economics - Research Publications

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    Some Optimal Dividends Problems
    Dickson, DCM ; Waters, HR (Cambridge University Press (CUP), 2004-05)
    We consider a situation originally discussed by De Finetti (1957) in which a surplus process is modified by the introduction of a constant dividend barrier. We extend some known results relating to the distribution of the present value of dividend payments until ruin in the classical risk model and show how a discrete time risk model can be used to provide approximations when analytic results are unavailable. We extend the analysis by allowing the process to continue after ruin.