Optimal choice of dividend barriers for a risk process with stochastic return on investments

Insurance: Mathematics and Economics

Volumn 20, Issue 3, 1997, Pages 215-223

  Paulsen, Jostein ^a   Gjessing, Håkon K ^a  

^a UNIVERSITY OF BERGEN   (Norway)

Author keywords

Dividend barrier strategy; Integro differential equation; Ruin theory; Stochastic differential equation

Indexed keywords

EID: 0031572689     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(97)00011-5     Document Type: Article

References (10)

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3. Gerber, H. (1981). On the probability of ruin in the presence of a linear dividend barrier. Scandinavian Actuarial Journal, 105-115.
4. Gihman, I.I. and A.V. Skorohod (1972). Stochastic Differential Equations. Springer, Berlin.
5. Paulsen, J. (1993). Risk theory in a stochastic economic environment. Stochastic Processes and their Applications 46, 327-361.
6. Paulsen, J. and H.K. Gjessing (1997). Ruin theory with stochastic return on investments. Advances in Applied Probability, to appear.
7. Protter, P. (1992). Stochastic Integration and Differential Equations: A New Approach. Springer, Berlin.
8. Shreve, S.E., J.P. Lehoczky and D.P. Gaver (1984). Optimal consumption for general diffusions with absorbing and reflecting barriers. SIAM J. Control and Optimization 22, 55-75.
9. Siegl, T. and R.F. Tichy (1996). Lösungsmethoden eines Risikomodells bei exponentiell fallender Schadensverteilung. Mitteilungen der Vereinigung Schweizer Versicherungsmathematiker, 95-118.
10. Slater, L.J. (1960). Confluent Hypergeometric Functions. Cambridge University Press, London.