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2007
- handle: 10670/1.gk6kiy
- Renaud, Jean-François et Zhou, Xiaowen (2007). « Distribution of the present value of dividend payments in a Lévy risk model ». Journal of Applied Probability, 44(2), pp. 420-427.
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http://archipel.uqam.ca/8421/
Ce document est lié à :
http://dx.doi.org/10.1239/jap/1183667411
Ce document est lié à :
doi:10.1239/jap/1183667411
Mots-clés
Lévy process fluctuation theory scale functions insurance risk process dividend barrier dividend payments time of ruinSujets proches
Standard of value Service of process Service of papers Abuse of process Process Assurance (Insurance) Coverage, Insurance Insurance protection Insurance coverage Insurance industry Indemnity insurance Mutual insurance Underwriting Pattern ModelCiter ce document
Jean-François Renaud et al., « Distribution of the present value of dividend payments in a Lévy risk model », UQAM Archipel : articles scientifiques, ID : 10670/1.gk6kiy
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Résumé
In this short paper, we show how fluctuation identities for Lévy processes with no positive jumps yield the distribution of the present value of dividend payments until ruin in a Lévy insurance risk model with a dividend barrier.