A Review of Modern Collective Risk Theory with Dividend Strategies

44 Pages Posted: 21 Aug 2008 Last revised: 6 Aug 2015

See all articles by Benjamin Avanzi

Benjamin Avanzi

UNSW Australia Business School, School of Risk and Actuarial Studies

Multiple version iconThere are 2 versions of this paper

Date Written: August 1, 2008

Abstract

In his seminal paper, Bruno de Finetti (1957) laid the foundations of what would become an increasingly popular branch of risk theory: the study of dividend strategies. The recent burst of research in this field encouraged the author to carry out a systematic literature review of modern collective risk theory with dividend strategies. This paper aims at a taxonomical synthesis of the 50 years of research that followed de Finetti's original paper.

Keywords: Optimal dividends, Dividend strategies, de Finetti, Risk business, Review, Skip-free upwards, Skip-free downwards, Maximization of dividends, Ruin, Reinsurance

JEL Classification: C00, G20, G22, G31, G32, G35

Suggested Citation

Avanzi, Benjamin, A Review of Modern Collective Risk Theory with Dividend Strategies (August 1, 2008). UNSW Australian School of Business Research Paper No. 2008ACTL09. Available at SSRN: https://ssrn.com/abstract=1242691 or http://dx.doi.org/10.2139/ssrn.1242691

Benjamin Avanzi (Contact Author)

UNSW Australia Business School, School of Risk and Actuarial Studies ( email )

UNSW Sydney, NSW 2052
Australia

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