Article: article from journal or magazin.
Risk theory with a non-linear dividend barrier
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.
Classical risk process, dividend barrier strategies, survival probability, stochastic simulation, Quasi-Monte Carlo techniques
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