Risk Theory with Affine Dividend Payment Strategies

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Ressource 1Download: BIB_0D639E5E9D46.P001.pdf (663.33 [Ko])
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Serval ID
serval:BIB_0D639E5E9D46
Type
A part of a book
Publication sub-type
Chapter: chapter ou part
Collection
Publications
Institution
Title
Risk Theory with Affine Dividend Payment Strategies
Title of the book
Number Theory – Diophantine Problems, Uniform Distribution and Applications
Author(s)
Albrecher H., Cani A.
Publisher
Springer International Publishing
ISBN
9783319553566
9783319553573
Publication state
Published
Issued date
2017
Peer-reviewed
Oui
Editor
Elsholtz C., Grabner P.
Pages
25-60
Language
english
Abstract
We consider a classical compound Poisson risk model with affine dividend payments. We illustrate how both by analytical and probabilistic techniques closed-form expressions for the expected discounted dividends until ruin and the Laplace transform of the time to ruin can be derived for exponentially distributed claim amounts. Moreover, numerical examples are given which compare the performance of the proposed strategy to classical barrier strategies and illustrate that such affine strategies can be a noteworthy compromise between profitability and safety in collective risk theory.
Keywords
Cramer-Lundberg risk model, affine dividend payments, hypergeometric functions
Open Access
Yes
Create date
15/11/2016 13:05
Last modification date
20/08/2019 12:34
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