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Article: Obtaining the dividends-penalty identities by interpretation

TitleObtaining the dividends-penalty identities by interpretation
Authors
Gerber, HUYang, H
KeywordsBarrier strategy
Discounted penalty function
Dividends-penalty identity
Two-sided jump model
Issue Date2010
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics And Economics, 2010, v. 47 n. 2, p. 206-207 How to Cite?
DOI: http://dx.doi.org/10.1016/j.insmatheco.2010.04.008
AbstractThe dividends-penalty identity is a relation between three functions: the discounted penalty function without dividends, the discounted penalty function if a barrier dividend strategy is applied, and the expected discounted dividends until ruin. The classical model of risk theory is modified in that the deterministic premiums are replaced by a compound Poisson process with exponential jumps. In this model, the dividends-penalty identity is new and can be derived by interpretation. Then the dividends-penalty identity in the classical model is obtained as a limit. © 2010 Elsevier B.V.
Persistent Identifierhttp://hdl.handle.net/10722/135505
ISSN
0167-6687
2023 Impact Factor: 1.9
2023 SCImago Journal Rankings: 1.113
ISI Accession Number ID
WOS:000281982000014
Funding AgencyGrant Number
Research Grants Council of the Hong Kong Special Administrative Region, ChinaHKU 754008H
Funding Information:

A report by an anonymous referee led to a significant improvement of this note. Hailiang Yang would like to acknowledge the Research Grants Council of the Hong Kong Special Administrative Region, China (project No. HKU 754008H).

References
References in Scopus
Grants
Risk Management of Equity-Linked Insurance Products

 

DC FieldValueLanguage
dc.contributor.authorGerber, HUen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2011-07-27T01:36:09Z-
dc.date.available2011-07-27T01:36:09Z-
dc.date.issued2010en_HK
dc.identifier.citationInsurance: Mathematics And Economics, 2010, v. 47 n. 2, p. 206-207en_HK
dc.identifier.issn0167-6687en_HK
dc.identifier.urihttp://hdl.handle.net/10722/135505-
dc.description.abstractThe dividends-penalty identity is a relation between three functions: the discounted penalty function without dividends, the discounted penalty function if a barrier dividend strategy is applied, and the expected discounted dividends until ruin. The classical model of risk theory is modified in that the deterministic premiums are replaced by a compound Poisson process with exponential jumps. In this model, the dividends-penalty identity is new and can be derived by interpretation. Then the dividends-penalty identity in the classical model is obtained as a limit. © 2010 Elsevier B.V.en_HK
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_HK
dc.relation.ispartofInsurance: Mathematics and Economicsen_HK
dc.subjectBarrier strategyen_HK
dc.subjectDiscounted penalty functionen_HK
dc.subjectDividends-penalty identityen_HK
dc.subjectTwo-sided jump modelen_HK
dc.titleObtaining the dividends-penalty identities by interpretationen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0167-6687&volume=47&issue=2&spage=206&epage=207&date=2010&atitle=Obtaining+the+dividends-penalty+identities+by+interpretation-
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.insmatheco.2010.04.008en_HK
dc.identifier.scopuseid_2-s2.0-77955659644en_HK
dc.identifier.hkuros187195en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77955659644&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume47en_HK
dc.identifier.issue2en_HK
dc.identifier.spage206en_HK
dc.identifier.epage207en_HK
dc.identifier.isiWOS:000281982000014-
dc.publisher.placeNetherlandsen_HK
dc.relation.projectRisk Management of Equity-Linked Insurance Products-
dc.identifier.scopusauthoridGerber, HU=7202185517en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.citeulike7164827-
dc.identifier.issnl0167-6687-

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