Gerber, HU; Shiu, ESW; Yang, H - 2010
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...