Strategies for dividend distribution: A review
B Avanzi - North American Actuarial Journal, 2009 - Taylor & Francis
In today's world of financial uncertainty, one major public concern is to assess (and possibly
improve) the stability of companies that take on risks. Actuaries have been aware of that …
improve) the stability of companies that take on risks. Actuaries have been aware of that …
Pricing perpetual options for jump processes
We consider two models in which the logarithm of the price of an asset is a shifted
compound Poisson process. Explicit results are obtained for prices and optimal exercise …
compound Poisson process. Explicit results are obtained for prices and optimal exercise …
The conditional probability density function for a reflected Brownian motion
D Veestraeten - Computational Economics, 2004 - Springer
Abstract Models in economics and other fields often require a restricted Brownian motion
because frequently implicit or explicit barriers restrict the domain. This paper contributes to …
because frequently implicit or explicit barriers restrict the domain. This paper contributes to …
On a mean reverting dividend strategy with Brownian motion
In actuarial risk theory, the introduction of dividend pay-outs in surplus models goes back to
de Finetti (1957). Dividend strategies that can be found in the literature often yield pay-out …
de Finetti (1957). Dividend strategies that can be found in the literature often yield pay-out …
A process with stochastic claim frequency and a linear dividend barrier
T Siegl, RF Tichy - Insurance: Mathematics and Economics, 1999 - Elsevier
The classical model of ruin theory is given by a Poisson claim number process with single
claims Xi and constant premium flow. Gerber has generalized this model by a linear …
claims Xi and constant premium flow. Gerber has generalized this model by a linear …
[图书][B] Conditional distributions in the Krugman target zone model and undeclared narrower bands
D Veestraeten - 2001 - researchgate.net
The paper explicitly derives the conditional distribution of exchange rates and interest rate
differentials in the target zone model of Krugman (1991). The exact conditional density …
differentials in the target zone model of Krugman (1991). The exact conditional density …
Optimal dividend policy
W Ettl - Blätter der DGVFM, 1989 - Springer
The optimal dividend policy is derived under general conditions which allow variable risk
parameters and discounting. For the compound Poisson distribution claim model as well as …
parameters and discounting. For the compound Poisson distribution claim model as well as …
[图书][B] Pricing of Currency Options in Credible Exchange Rate Target Zones: An Extension and an Alternative Valuation Approach
D Veestraeten - 2000 - lirias.kuleuven.be
The paper examines pricing of options on target zone exchange rates. The pricing model of
Dumas, Jennergren and Näslund (1993) is extended to asymmetric burden sharing in the …
Dumas, Jennergren and Näslund (1993) is extended to asymmetric burden sharing in the …
A review of modern collective risk theory with dividend Strategies
B Avanzi - UNSW Australian School of Business Research Paper, 2008 - papers.ssrn.com
In his seminal paper, Bruno de Finetti (1957) laid the foundations of what would become an
increasingly popular branch of risk theory: the study of dividend strategies. The recent burst …
increasingly popular branch of risk theory: the study of dividend strategies. The recent burst …
“Pricing Perpetual Options for Jump Processes”, Hans U. Gerber and Elias SW Shiu, July 1998
X Zhang - North American Actuarial Journal, 1998 - Taylor & Francis
“Pricing Perpetual Options for Jump Processes”, Hans U. Gerber and Elias SW Shiu, July 1998
Page 1 PRICING PERPETUAL OPTIONS FOR JUMP PROCESSES 109 NAAJ (SOA) zt [112z/] …
Page 1 PRICING PERPETUAL OPTIONS FOR JUMP PROCESSES 109 NAAJ (SOA) zt [112z/] …