The paper studies a discrete counterpart of Gerber et al. (2006). The surplus of an insurance company (before dividends) is modeled as a time-homogeneous Markov chain with possible changes of size +1,0,-1,-2,-3,.... If a barrier strategy is applied for paying dividends, it is shown that the...

Motivated by the Guaranteed Minimum Death Benefits in various deferred annuities, we investigate the calculation of the expected discounted value of a payment at the time of death. The payment depends on the price of a stock at that time and possibly also on the history of the stock price. If...

The paper is motivated by the valuation problem of guaranteed minimum death benefits in various equity-linked products. At the time of death, a benefit payment is due. It may depend not only on the price of a stock or stock fund at that time, but also on prior prices. The problem is to calculate...

In applications of collective risk theory, complete information about the individual claim amount distribution is often not known, but reliable estimates of its first few moments may be available. For such a situation, this paper develops methods for estimating the optimal dividend barrier and...