Maximizing Dividends without Bankruptcy

Details

Serval ID
serval:BIB_F4311469BFA4
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Maximizing Dividends without Bankruptcy
Journal
Astin Bulletin
Author(s)
Gerber H. U., Shiu E. S. W., Smith N.
Publication state
Published
Issued date
2006
Peer-reviewed
Oui
Volume
36
Number
1
Pages
5-23
Abstract
Consider the classical compound Poisson model of risk theory, in which dividends are paid to the shareholders according to a barrier strategy. Let b* be the level of the barrier that maximizes the expectation of the discounted dividends until ruin. This paper is inspired by Dickson and Waters (2004). They point out that the shareholders should be liable to cover the deficit at ruin. Thus, they consider b0, the level of the barrier that maximizes the expectation of the difference between the discounted dividends until ruin and the discounted deficit at ruin. In this paper, b* and b0 are compared, when the claim amount distribution is exponential or a combination of exponentials.
Create date
19/11/2007 10:54
Last modification date
20/08/2019 16:21
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