On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier

60 citations recorded by the source corpus.

How researchers see this paper

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

The compound Poisson risk model with a threshold dividend strategy (2006, methodology): “Barrier strategies for the compound Poisson risk model have been studied in a number of papers and books, including Albrecher et al. (2005), Albrecher and Kainhofer (2002), Bühlmann (1970, Section 6.4.9), Dickson and Waters (2004), Gerber (1972), Gerber (1973), Gerber (1979), Gerber (1981), Gerber…”
Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process (2007, methodology): “For the Sparre Andersen model, Albrecher et al. (2005) first looked at the moment generating function of the discounted dividend payments and then, under sufficient regularity, rederived the moments from the Taylor expansion.”
The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion (2006, methodology): “then substituting these formulas into (5), subtracting V1(u; b) from both sides, interpreting dt and o(dt) terms, canceling out common factors, and letting dt → 0, we prove that the integro-differential equation (2) holds.”