Risk Theory with a nonlinear Dividend Barrier |
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Authors: | H Albrecher R Kainhofer |
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Affiliation: | (1) Department of Mathematics Graz University of Technology Steyrergasse 30 8010 Graz Austria e-mails: albrecher@TUGraz.at kainhofer@TUGraz.at, AT |
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Abstract: | In the framework of classical risk theory we investigate a surplus process in the presence of a nonlinear dividend barrier
and derive equations for two characteristics of such a process, the probability of survival and the expected sum of discounted
dividend payments. Number-theoretic solution techniques are developed for approximating these quantities and numerical illustrations
are given for exponential claim sizes and a parabolic dividend barrier.
Received May 8, 2001 Published online: July 8, 2002 |
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Keywords: | AMS Subject Classifications: 62P05 (65C05) |
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