A note on moments of dividends

Albrecher, Hansjörg ; Gerber, Hans

In: Acta Mathematicae Applicatae Sinica, English Series, 2011, vol. 27, no. 3, p. 353-354

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    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