Author:
Dickson D. C. M.,Drekic S.
Abstract
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.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Cited by
30 articles.
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