On optimal dividends: From reflection to refraction

By Hans U. Gerber, E. Shiu. 2006

90 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/4d1d3ff27705ce6d1c0b63bc9a9e4e88331be433

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Andreas E. Kyprianou
2. Yan Zeng
3. Ronnie Loeffen
4. Zhongfei Li
5. Xiaowen Zhou
6. Yi Lu
7. Shuanming Li
8. Yongzeng Lai

In Finance

1. Xiaowen Zhou
2. Ronnie Loeffen
3. Andreas E. Kyprianou
4. Zhongfei Li
5. Yan Zeng
6. Bin Li
7. Yi Lu
8. Yongzeng Lai

In Management Science and Operations Research

1. Xiaowen Zhou
2. Andreas E. Kyprianou
3. Ronnie Loeffen
4. Bin Li
5. Yi Lu
6. Yan Zeng
7. Chuancun Yin
8. Shuanming Li

Citations in the corpus

• The Joint Laplace Transforms for Diffusion Occupation Times (2013, background): “The Brownian motion with two-valued drift, referred to as refracted Brownian motion, is also of interest to risk theory; see, for example, [5] and [11].”
• Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model (2007, background): “…and books, including Bühlmann (1970), Segerdahl (1970), Gerber (1972, 1979, 1981), Paulsen and Gjessing (1997), Albrecher and Kainhofer (2002), Højgaard (2002), Lin, Willmot, and Drekic (2003), Dickson and Waters (2004), Li and Garrido (2004), Albrecher, Claramunt, and Marmol (2005),…”
• Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2012, methodology): “…works well for large insurance portfolios since each claim is relatively small compared to the size of surplus, and this model has been widely used in the literature, for example, Browne (1995), Promislow and Young (2005), Gerber and Shiu (2006), Bai and Guo (2008), Chen et al. (2010), and so on.”
• Refracted Lévy processes (2008, methodology): “The article [8] also uses the terminology “refraction” for the case that X is a linear Brownian motion.”
• Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011, methodology): “The DA model has been used in much existing literature, for example, Browne (1995), Promislow and Young (2005), Gerber and Shiu (2006), Bai and Guo (2008), Cao and Wan (2009), Chen et al. (2010), Gu et al. (2010), and so on.”