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Document Details : Title: Some Optimal Dividends Problems Author(s): DICKSON, D.C.M. , WATERS, H.R. Journal: ASTIN Bulletin Volume: 34 Issue: 1 Date: May 2004 Pages: 49-74 DOI: 10.2143/AST.34.1.504954 Abstract : We consider a situation originally discussed by De Finetti (1957) in which a surplus process is modified by the introduction of a constant dividend barrier. We extend some known results relating to the distribution of the present value of dividend payments until ruin in the classical risk model and show how a discrete time risk model can be used to provide approximations when analytic results are unavailable. We extend the analysis by allowing the process to continue after ruin. |
