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