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Economics - Research Publications
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ItemOptimal dynamic reinsuranceDICKSON, D. ; WATERS, H. ( 2006)
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ItemSome Finite Time Ruin ProblemsDickson, DCM (Cambridge University Press (CUP), 2007-09)ABSTRACT In the classical risk model, we use probabilistic arguments to write down expressions in terms of the density function of aggregate claims for joint density functions involving the time to ruin, the deficit at ruin and the surplus prior to ruin. We give some applications of these formulae in the cases when the individual claim amount distribution is exponential and Erlang(2).
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ItemOptimal Dividends Under a Ruin Probability ConstraintDickson, DCM ; Drekic, S (Cambridge University Press (CUP), 2006-09)ABSTRACT 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.