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A note on moments of dividends

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Abstract

We reconsider a formula for arbitrary moments of expected discounted dividend payments in a spectrally negative Lévy risk model that was obtained in Renaud and Zhou (2007, [4]) and in Kyprianou and Palmowski (2007, [3]) and extend the result to stationary Markov processes that are skip-free upwards.

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References

  1. Gerber, H.U., Lin, S., Yang, H. A note on the dividends-penalty identity and the optimal dividend barrier. Astin Bulletin, 36(2): 489–503 (2006)

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Authors and Affiliations

  1. Faculty of Business and Economics, University of Lausanne, CH-1015, Lausanne, Switzerland

    Hansjörg Albrecher (Professor of Actuarial Science, Faculty Member)

  2. Swiss Finance Institute, Lugano, France

    Hansjörg Albrecher (Professor of Actuarial Science, Faculty Member)

  3. University of Hong Kong, Hong Kong, China

    Hans U. Gerber (Distinguished Visiting Professor, Honorary Professor)

  4. Faculty of Business and Economics, University of Lausanne, CH-1015, Lausanne, Switzerland

    Hans U. Gerber (Distinguished Visiting Professor, Honorary Professor)

Authors
  1. Hansjörg Albrecher
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  2. Hans U. Gerber
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Corresponding author

Correspondence to Hansjörg Albrecher.

Additional information

Supported by the Swiss National Science Foundation Project (No. 200021-124635/1).

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Albrecher, H., Gerber, H.U. A note on moments of dividends. Acta Math. Appl. Sin. Engl. Ser. 27, 353–354 (2011). https://doi.org/10.1007/s10255-011-0074-x

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  • DOI: https://doi.org/10.1007/s10255-011-0074-x

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