Some Optimal Dividends Problems

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Author
Dickson, DCM; Waters, HRDate
2004-05Source Title
ASTIN BulletinPublisher
Cambridge University Press (CUP)University of Melbourne Author/s
Dickson, DavidAffiliation
EconomicsMetadata
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Journal ArticleCitations
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 AccessDescription
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>
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