Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
نویسندگان
چکیده
In this short paper, we show how fluctuation identities for Lévy processes with no positive jumps yield the distribution of the present value of dividends paid until ruin in a Lévy insurance risk model with a dividend barrier.
منابع مشابه
Applied Probability Trust (22 February 2007) DISTRIBUTION OF THE PRESENT VALUE OF DIVIDEND PAY- MENTS IN A LÉVY RISK MODEL
In this short paper, we show how uctuation 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.
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