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A note on the expected present value of dividends with a constant barrier in the discrete time model. (English. French, German summary) Zbl 1333.91021
Summary: The process of free reserves in a non-life insurance portfolio as defined in the classical model of risk theory is modified by the introduction of dividend policies that set maximum levels for the accumulation of reserves. The work presents a general solution to calculate the expected present value of dividends based on a system of linear equations for discrete dividend payments in the case of a constant dividend barrier.

MSC:
91B30 Risk theory, insurance (MSC2010)
62E10 Characterization and structure theory of statistical distributions
62P05 Applications of statistics to actuarial sciences and financial mathematics
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