Obtaining the dividends-penalty identities by interpretation
The dividends-penalty identity is a relation between three functions: the discounted penalty function without dividends, the discounted penalty function if a barrier dividend strategy is applied, and the expected discounted dividends until ruin. The classical model of risk theory is modified in that the deterministic premiums are replaced by a compound Poisson process with exponential jumps. In this model, the dividends-penalty identity is new and can be derived by interpretation. Then the dividends-penalty identity in the classical model is obtained as a limit.
Year of publication: |
2010
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Authors: | Gerber, Hans U. ; Yang, Hailiang |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 47.2010, 2, p. 206-207
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Publisher: |
Elsevier |
Keywords: | Dividends-penalty identity Discounted penalty function Barrier strategy Two-sided jump model |
Saved in:
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