Economics - Research Publications

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Subject: Finance and Investment × Start date: 2006 × End date: 2006 ×

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    Optimal dynamic reinsurance
    DICKSON, D. ; WATERS, H. ( 2006)
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    Deviations from uncovered interest parity in Malaysia
    Goh, SK ; Lim, GC ; Olekalns, N (Informa UK Limited, 2006-06-15)
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    Optimal Dividends Under a Ruin Probability Constraint
    Dickson, 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.