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.
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Received May 8, 2001 Published online: July 8, 2002
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Albrecher, H., Kainhofer, R. Risk Theory with a nonlinear Dividend Barrier. Computing 68, 289–311 (2002). https://doi.org/10.1007/s00607-001-1447-4
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DOI: https://doi.org/10.1007/s00607-001-1447-4