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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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    Title
    • A note on moments of dividends
    Author
    • Albrecher, Hansjörg. Faculty of Business and Economics, University of Lausanne, CH-1015, Lausanne, Switzerland
    • Gerber, Hans. University of Hong Kong, Hong Kong, China
    Document Type
    • Postprint
    Language
    • English
    Published in
    • Acta Mathematicae Applicatae Sinica, English Series, 2011, vol. 27, no. 3, p. 353-354. Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
    Other Version
    OAI-PMH Identifier
    • oai:doc.rero.ch:321926
    Summary
    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