A note on moments of dividends
| Data(s) |
2011
|
|---|---|
| Identificador |
https://serval.unil.ch/notice/serval:BIB_FE00056E892B https://serval.unil.ch/resource/serval:BIB_FE00056E892B.P001/REF http://nbn-resolving.org/urn/resolver.pl?urn=urn:nbn:ch:serval-BIB_FE00056E892B6 urn:nbn:ch:serval-BIB_FE00056E892B6 |
| Idioma(s) |
eng |
| Direitos |
info:eu-repo/semantics/openAccess Copying allowed only for non-profit organizations https://serval.unil.ch/disclaimer |
| Fonte |
Acta Mathematica Applicatae Sinica273353-354 |
| Tipo |
info:eu-repo/semantics/article article |
| Resumo |
We reconsider a formula for arbitrary moments of expected discounted dividend payments in a spectrally negative L,vy risk model that was obtained in Renaud and Zhou (2007, [4]) and in Kyprianou and Palmowski (2007, [3]) and extend the result to stationary Markov processes that are skip-free upwards. |
| Formato |
application/pdf |
| Palavras-Chave | #Dividends; Barrier strategies; Stationary Markov process; Scale function |
