Optimal Dividends Under a Ruin Probability Constraint

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    Author
    Dickson, DCM; Drekic, S
    Date
    2006-09
    Source Title
    Annals of Actuarial Science
    Publisher
    Cambridge University Press (CUP)
    University of Melbourne Author/s
    Dickson, David
    Affiliation
    Economics
    Metadata
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    Document Type
    Journal Article
    Citations
    Dickson, D. C. M. & Drekic, S. (2006). Optimal Dividends Under a Ruin Probability Constraint. Annals of Actuarial Science, 1 (2), pp.291-306. https://doi.org/10.1017/s1748499500000166.
    Access Status
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    URI
    http://hdl.handle.net/11343/29136
    DOI
    10.1017/s1748499500000166
    Description

    C1 - Refereed Journal Article
    Abstract
    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.
    Keywords
    Banking; Finance and Investment

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