Obtaining the dividends-penalty identities by interpretation

Hans U. Gerber and Hailiang Yang

Insurance: Mathematics and Economics, 2010, vol. 47, issue 2, 206-207

Abstract: The dividends-penalty identity is a relation between three functions: the discounted penalty function without dividends, the discounted penalty function if a barrier dividend strategy is applied, and the expected discounted dividends until ruin. The classical model of risk theory is modified in that the deterministic premiums are replaced by a compound Poisson process with exponential jumps. In this model, the dividends-penalty identity is new and can be derived by interpretation. Then the dividends-penalty identity in the classical model is obtained as a limit.

Keywords: Dividends-penalty; identity; Discounted; penalty; function; Barrier; strategy; Two-sided; jump; model (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:47:y:2010:i:2:p:206-207

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