Economics - Research Publications

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    Optimal Dividends under a Ruin ProbabilityConstraint
    Dickson, David CM ; Drekic, Steve ( 2005-10)
    We consider a classical surplus process modified by the paymentof dividends when the insurer’s surplus exceeds a threshold. We use aprobabilistic 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 valueof dividend payments subject to a constraint on the insurer’s ruin probability.