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Article: A note on the dividends-penalty identity and the optimal dividend barrier

TitleA note on the dividends-penalty identity and the optimal dividend barrier
Authors
KeywordsBrownian motion
Compound poisson process
Dividends-penalty identity
General class of risk models
Optimal dividend barrier
Penalty at ruin
Issue Date2006
PublisherPeeters Publishers. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST
Citation
Astin Bulletin, 2006, v. 36 n. 2, p. 489-503 How to Cite?
AbstractFor a general class of risk models, the dividends-penalty identity is derived by probabilistic reasoning. This identity is the key for understanding and determining the optimal dividend barrier, which maximizes the difference between the expected present value of all dividends until ruin and the expected discounted value of a penalty at ruin (which is typically a function of the deficit at ruin). As an illustration, the optimal barrier is calculated in two classical models, for different penalty functions and a variety of parameter values. © 2006 by Astin Bulletin. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/82679
ISSN
2015 Impact Factor: 0.732
2015 SCImago Journal Rankings: 0.979
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorGerber, HUen_HK
dc.contributor.authorLin, XSen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2010-09-06T08:32:10Z-
dc.date.available2010-09-06T08:32:10Z-
dc.date.issued2006en_HK
dc.identifier.citationAstin Bulletin, 2006, v. 36 n. 2, p. 489-503en_HK
dc.identifier.issn0515-0361en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82679-
dc.description.abstractFor a general class of risk models, the dividends-penalty identity is derived by probabilistic reasoning. This identity is the key for understanding and determining the optimal dividend barrier, which maximizes the difference between the expected present value of all dividends until ruin and the expected discounted value of a penalty at ruin (which is typically a function of the deficit at ruin). As an illustration, the optimal barrier is calculated in two classical models, for different penalty functions and a variety of parameter values. © 2006 by Astin Bulletin. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherPeeters Publishers. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=ASTen_HK
dc.relation.ispartofASTIN Bulletinen_HK
dc.subjectBrownian motionen_HK
dc.subjectCompound poisson processen_HK
dc.subjectDividends-penalty identityen_HK
dc.subjectGeneral class of risk modelsen_HK
dc.subjectOptimal dividend barrieren_HK
dc.subjectPenalty at ruinen_HK
dc.titleA note on the dividends-penalty identity and the optimal dividend barrieren_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0515-0361&volume=36&spage=489&epage=503&date=2006&atitle=A+Note+on+the+Dividends-penalty+Identity+and+the+Optimal+Dividend+Barrieren_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.2143/AST.36.2.2017931en_HK
dc.identifier.scopuseid_2-s2.0-35348889157en_HK
dc.identifier.hkuros125319en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-35348889157&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume36en_HK
dc.identifier.issue2en_HK
dc.identifier.spage489en_HK
dc.identifier.epage503en_HK
dc.identifier.isiWOS:000243005800008-
dc.publisher.placeBelgiumen_HK
dc.identifier.scopusauthoridGerber, HU=7202185517en_HK
dc.identifier.scopusauthoridLin, XS=35307443800en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK

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