Some Optimal Dividends Problems

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    157
    Author
    Dickson, DCM; Waters, HR
    Date
    2004-05
    Source Title
    ASTIN Bulletin
    Publisher
    Cambridge University Press (CUP)
    University of Melbourne Author/s
    Dickson, David
    Affiliation
    Economics
    Metadata
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    Document Type
    Journal Article
    Citations
    Dickson, D. C. M. & Waters, H. R. (2004). Some Optimal Dividends Problems. ASTIN Bulletin, 34 (1), pp.49-74. https://doi.org/10.1017/s0515036100013878.
    Access Status
    Open Access
    URI
    http://hdl.handle.net/11343/28033
    DOI
    10.1017/s0515036100013878
    Description

    C1 - Refereed Journal Article
    Abstract
    <jats:p>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.</jats:p>
    Keywords
    Banking; Finance and Investment

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