TY - JOUR
AU - Dickson, DCM
AU - Drekic, S
Y2 - 2014/05/21
Y1 - 2006/09
SN - 1748-4995
UR - http://hdl.handle.net/11343/29136
AB - ABSTRACTWe 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.
LA - en
PB - Cambridge University Press (CUP)
KW - Banking
KW - Finance and Investment
T1 - Optimal Dividends Under a Ruin Probability Constraint
DO - 10.1017/s1748499500000166
IS - Annals of Actuarial Science
VL - 1
IS - 2
SP - 291-306
L1 - /bitstream/handle/11343/29136/277621_61082.pdf?sequence=1&isAllowed=n
ER -