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A note on moments of dividends |
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| Authors: | Hansjörg Albrecher Hans U. Gerber |
| Affiliation: | Hansjrg Albrecher1, Hans U. Gerber2 1Professor of Actuarial Science, Faculty of Business and Economics, University of Lausanne, CH-1015 Lausanne, Switzerland and Faculty Member of the Swiss Finance Institute 2Distinguished Visiting Professor at the University of Hong Kong, and Honorary Professor of Actuarial Science, Faculty of Business and Economics, University of Lausanne, CH-1015 Lausanne, Switzerland |
| Abstract: | We reconsider a formula for arbitrary moments of expected discounted dividend payments in a spectrally negative Lévy risk model that was obtained in Renaud and Zhou (2007, [4]) and in Kyprianou and Palmowski (2007, [3]) and extend the result to stationary Markov processes that are skip-free upwards. |
| Keywords: | dividends barrier strategies stationary Markov process scale function |
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