Hans Ulrich Gerber

University of Lausanne

Lausanne, Vaud CH-1015

Switzerland

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Optimal Dividends in the Dual Model with Diffusion

UNSW Australian School of Business Research Paper No. 2008ACTL10
Number of pages: 24 Posted: 26 Aug 2008
Benjamin Avanzi and Hans Ulrich Gerber
UNSW Australia Business School, School of Risk and Actuarial Studies and University of Lausanne
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Citation 1

Abstract:

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Optimal dividends, Barrier strategies, Dual model, Smooth pasting condition, Jump-diffusion, Laplace transforms