A note on moments of dividends


Autoria(s): Albrecher, H.; Gerber, H. U.
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

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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