Risk theory with a non-linear dividend barrier

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Serval ID
serval:BIB_9CFA31E0F5C5
Type
Article: article from journal or magazin.
Collection
Publications
Title
Risk theory with a non-linear dividend barrier
Journal
Computing
Author(s)
Albrecher H., Kainhofer R.
ISSN
0010-485X
Publication state
Published
Issued date
2002
Peer-reviewed
Oui
Volume
68
Number
4
Pages
289-311
Language
english
Abstract
In the framework of classical risk theory we investigate a surplus process in the presence of a nonlinear dividend barrier and derive equations for two characteristics of such a process, the probability of survival and the expected sum of discounted dividend payments. Number-theoretic solution techniques are developed for approximating these quantities and numerical illustrations are given for exponential claim sizes and a parabolic dividend barrier.
Keywords
Classical risk process, dividend barrier strategies, survival probability, stochastic simulation, Quasi-Monte Carlo techniques
Create date
12/05/2009 11:02
Last modification date
20/08/2019 15:03
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