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Optimal Dividends Under a Ruin Probability Constraint

Published online by Cambridge University Press:  10 May 2011

D. C. M. Dickson  and
S. Drekic
D. C. M. Dickson
Affiliation:
Centre for Actuarial Studies, Department of Economics, University of Melbourne, Victoria 3010, Australia., Email: dcmd@unimelb.edu.au
S. Drekic
Affiliation:
Department of Statistics & Actuarial Science, University of Waterloo, Waterloo, Ontario N2L 3G1, Canada., Email: sdrekic@math.uwaterloo.ca
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Abstract

We 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.

Keywords

DividendsRuin ProbabilityTime of RuinSeverity of Ruin
Type
Papers
Information
Annals of Actuarial Science , Volume 1 , Issue 2 , September 2006 , pp. 291 - 306
Copyright
Copyright © Institute and Faculty of Actuaries 2006

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