Obtaining the dividends-penalty identity by interpretation

Hans Gerber, Hailiang Yang*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)


The dividendspenalty identity is a relation between three functions: the discounted penalty function without dividends, the discounted penalty function if a barrier dividend strategy is applied, and the expected discounted dividends until ruin. The classical model of risk theory is modified in that the deterministic premiums are replaced by a compound Poisson process with exponential jumps. In this model, the dividendspenalty identity is new and can be derived by interpretation. Then the dividendspenalty identity in the classical model is obtained as a limit.
Original languageEnglish
Pages (from-to)206-207
JournalInsurance: Mathematics and Economics
Issue number2
Publication statusPublished - Oct 2010
Externally publishedYes


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