Risk theory with a nonlinear dividend barrier

Risk theory with a nonlinear dividend barrier

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Article ID: iaor2003936
Country: Austria
Volume: 68
Issue: 4
Start Page Number: 289
End Page Number: 311
Publication Date: Jan 2002
Journal: Computing
Authors: ,
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.

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