Risk theory with a nonlinear dividend barrier

Computing (Vienna/New York)

Volumn 68, Issue 4, 2002, Pages 289-311

  Albrecher, H ^a   Kainhofer, R ^a  

^a GRAZ UNIVERSITY OF TECHNOLOGY   (Austria)

Author keywords

Classical risk process; Dividend barrier strategies; Quasi Monte Carlo techniques; Stochastic simulation; Survival probability

Indexed keywords

APPROXIMATION THEORY; COMPUTER SIMULATION; MONTE CARLO METHODS; NONLINEAR SYSTEMS; PROBABILITY; PROBLEM SOLVING; RANDOM PROCESSES;

NONLINEAR DIVIDEND BARRIERS;

RISK ASSESSMENT;

EID: 0036044480     PISSN: 0010485X     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00607-001-1447-4     Document Type: Article

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