Gerber, Hans U.; Shiu, Elias S.W.; Yang, Hailiang - In: Insurance: Mathematics and Economics 46 (2010) 1, pp. 109-116
The paper studies a discrete counterpart of Gerber et al. (2006). The surplus of an insurance company (before dividends) is modeled as a time-homogeneous Markov chain with possible changes of size +1,0,-1,-2,-3,.... If a barrier strategy is applied for paying dividends, it is shown that the...