| dc.contributor.author | Dickson, DCM | |
| dc.contributor.author | Drekic, S | |
| dc.date.available | 2014-05-21T22:35:48Z | |
| dc.date.issued | 2006-09 | |
| dc.identifier.citation | 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. | |
| dc.identifier.issn | 1748-4995 | |
| dc.identifier.uri | http://hdl.handle.net/11343/29136 | |
| dc.description | C1 - Refereed Journal Article | |
| dc.description.abstract | <jats:title>ABSTRACT</jats:title><jats:p>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.</jats:p> | |
| dc.language | en | |
| dc.publisher | Cambridge University Press (CUP) | |
| dc.subject | Banking | |
| dc.subject | Finance and Investment | |
| dc.title | Optimal Dividends Under a Ruin Probability Constraint | |
| dc.type | Journal Article | |
| dc.identifier.doi | 10.1017/s1748499500000166 | |
| melbourne.peerreview | Peer Reviewed | |
| melbourne.affiliation | The University of Melbourne | |
| melbourne.affiliation.department | Economics | |
| melbourne.source.title | Annals of Actuarial Science | |
| melbourne.source.volume | 1 | |
| melbourne.source.issue | 2 | |
| melbourne.source.pages | 291-306 | |
| melbourne.publicationid | 61082 | |
| melbourne.elementsid | 283083 | |
| melbourne.contributor.author | Dickson, David | |
| dc.identifier.eissn | 1748-5002 | |
| melbourne.accessrights | This item is currently not available from this repository | |
