Methods to estimate the optimal dividend barrier and the probability of ruin

Détails

ID Serval
serval:BIB_5052C60C8359
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Methods to estimate the optimal dividend barrier and the probability of ruin
Périodique
Insurance: Mathematics and Economics
Auteur(s)
Gerber H.U., Shiu E. S. W., Smith N.
Statut éditorial
Publié
Date de publication
2008
Peer-reviewed
Oui
Volume
42
Numéro
1
Pages
243-254
Résumé
In applications of collective risk theory, complete information about the individual claim amount distribution is often not known, but reliable estimates of its first few moments may be available. For such a situation, this paper develops methods to estimate the optimal dividend barrier and the probability of ruin. In particular, two De Vylder approximations are explained, and the first and second order diffusion approximations are examined. For several claim amount distributions, the approximate values are compared numerically with the exact values. The De Vylder and diffusion approximations can be adapted to the more general situation where the aggregate claims process is a Lévy process with nonnegative increments.
Mots-clé
Optimal dividend barrier, ruin probability, Lévy processes, subordinators, De Vylder approximations, diffusion approximations, Lundberg function, Lundberg?s fundamental equation, gamma processes
Création de la notice
19/11/2007 11:26
Dernière modification de la notice
20/08/2019 15:06
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