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Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika, 2009, Number 5, Pages 57–60
(Mi vmumm906)
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This article is cited in 1 scientific paper (total in 1 paper)
Short notes
Dividend optimization under the gamma-distribution of claims
N. V. Karapetyan Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
The classic insurance company work model with gamma-distribution of claim amount is considered. It is supposed that the company applies a dividend barrier strategy. The form of the expected discounted dividends accumulated until the ruin and the expected discounted deficit at the ruin are found. We deals with the optimal barriers which maximizes either the dividends amount or shareholders profit. The barrier optimisation is illustrated by some examples.
Key words:
gamma-distribution of claims, discounted dividends, profit, barrier strategies, Dickson and Waters modification.
Received: 05.11.2008
Citation:
N. V. Karapetyan, “Dividend optimization under the gamma-distribution of claims”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2009, no. 5, 57–60
Linking options:
https://www.mathnet.ru/eng/vmumm906 https://www.mathnet.ru/eng/vmumm/y2009/i5/p57
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