On optimal dividend strategies in insurance with a random time horizon

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ID Serval
serval:BIB_D99F20AD1C33
Type
Partie de livre
Sous-type
Chapitre: chapitre ou section
Collection
Publications
Titre
On optimal dividend strategies in insurance with a random time horizon
Titre du livre
Stochastic processes, finance and control. Festschrift for Robert Elliott.
Auteur(s)
Albrecher H., Thonhauser S.
Editeur
World Scientific
Lieu d'édition
Singapore

ISBN
978-981-4483-91-9
Statut éditorial
Publié
Date de publication
2012
Volume
1
Série
Advances in Statistics, Probability and Actuarial Science
Pages
157-180
Langue
anglais
Résumé
For the classical compound Poisson surplus process of an insurance portfolio we investigate the problem of how to optimally pay out dividends to shareholders if the criterion is to maximize the expected discounted dividend payments until the time of ruin or a random time horizon, whichever is smaller. We explicitly solve this problem for an exponential time horizon and exponential claim sizes. Furthermore, we study the case of an Erlang(2)
time horizon by introducing an external state process and derive the solution under the assumption that the external state process is observable. The results are illustrated by numerical examples.
Création de la notice
31/10/2011 19:45
Dernière modification de la notice
03/03/2018 21:53
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