NDLI: Optimal Dividends Under a Ruin Probability Constraint

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Optimal Dividends Under a Ruin Probability Constraint

Content Provider	Scilit
Author	Dickson, D. C. M. Drekic, S.
Copyright Year	2006
Description	We consider a classical surplus process modified by the payment of dividends when the insurer's surplus exceeds a threshold. We use a probabilistic argument to obtain general expressions for the expected present value of dividend payments, and show how these expressions can be applied for certain individual claim amount distributions. We then consider the question of maximising the expected present value of dividend payments subject to a constraint on the insurer's ruin probability.
Related Links	http://minerva-access.unimelb.edu.au/bitstream/11343/34327/1/66827_00002194_01_No.127.pdf https://www.cambridge.org/core/services/aop-cambridge-core/content/view/55EB568F16F29107A7FFFBEE33CA937B/S1748499500000166a.pdf/div-class-title-optimal-dividends-under-a-ruin-probability-constraint-div.pdf
Ending Page	306
Page Count	16
Starting Page	291
ISSN	17484995
e-ISSN	17485002
DOI	10.1017/s1748499500000166
Journal	Annals of Actuarial Science
Issue Number	2
Volume Number	1
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2006-09-01
Access Restriction	Open
Subject Keyword	Annals of Actuarial Science Ruin Probability Time of Ruin Severity of Ruin
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability Economics and Econometrics Statistics, Probability and Uncertainty

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