Optimal dividends: Analysis with Brownian motion

被引：0

|

作者：

Gerber, HU

Shiu, ESW

机构：

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2003年 / 32卷 / 03期

关键词：

dividend; Wiener process; ruin;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

收藏

页码：488 / 489

页数：2

相关论文

共 50 条

[1] Optimal dividends in the Brownian motion risk model with interest
Fang, Ying
Wu, Rong
[J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2009, 229 (01) : 145 - 151
[2] Optimal dividends in the Brownian motion model with credit and debit interest.
Cai, J
Gerber, HU
Yang, H
[J]. INSURANCE MATHEMATICS & ECONOMICS, 2005, 37 (02): : 393 - 393
[3] Optimal Ratcheting of Dividends in a Brownian Risk Model\ast
Albrecher, Hansjorg
Azcue, Pablo
Muler, Nora
[J]. SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2022, 13 (03): : 657 - 701
[4] On risk model with dividends payments perturbed by a Brownian motion - An algorithmic approach
Frostig, Esther
[J]. ASTIN BULLETIN, 2008, 38 (01): : 183 - 206
[5] OPTIMAL STOPPING OF CONSTRAINED BROWNIAN MOTION
FOLLMER, H
[J]. JOURNAL OF APPLIED PROBABILITY, 1972, 9 (03) : 557 - &
[6] On the optimal forecast with the fractional Brownian motion
Wang, Xiaohu
Yu, Jun
Zhang, Chen
[J]. QUANTITATIVE FINANCE, 2024, 24 (02) : 337 - 346
[7] OPTIMAL STOPPING OF AVERAGED BROWNIAN MOTION
TAYLOR, HM
[J]. ANNALS OF MATHEMATICAL STATISTICS, 1968, 39 (02): : 706 - &
[8] AN OPTIMAL POLYNOMIAL APPROXIMATION OF BROWNIAN MOTION
Foster, James
Lyons, Terry
Oberhauser, Harald
[J]. SIAM JOURNAL ON NUMERICAL ANALYSIS, 2020, 58 (03) : 1393 - 1421
[9] Optimal stopping of oscillating Brownian motion
Mordecki, Ernesto
Salminen, Paavo
[J]. ELECTRONIC COMMUNICATIONS IN PROBABILITY, 2019, 24
[10] Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
Lai, TL
Lim, TW
[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2005, 130 (1-2) : 21 - 47

← 1 2 3 4 5 →