- Economics - Research Publications
Economics - Research Publications
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ItemOptimal dynamic reinsuranceDICKSON, D. ; WATERS, H. ( 2006)
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ItemDeviations from uncovered interest parity in MalaysiaGoh, SK ; Lim, GC ; Olekalns, N (Informa UK Limited, 2006-06-15)
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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.