Risk theory with a nonlinear dividend barrier

被引：57

作者：

Albrecher, H ^{[1
]}

Kainhofer, R ^{[1
]}

机构：

[1] Graz Univ Technol, Dept Math, A-8010 Graz, Austria

来源：

COMPUTING | 2002年 / 68卷 / 04期

关键词：

classical risk process; dividend barrier strategies; survival probability; stochastic simulation; Quasi-Monte Carlo techniques;

D O I：

10.1007/s00607-001-1447-4

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

In the framework of classical risk theory we investigate a surplus process in the presence of a nonlinear dividend barrier and derive equations for two characteristics of such a process, the probability of survival and the expected sum of discounted dividend payments. Number-theoretic solution techniques are developed for approximating these quantities and numerical illustrations are given for exponential claim sizes and a parabolic dividend barrier.

引用

页码：289 / 311

页数：23

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