Dividend Payouts in a Perturbed Risk Process Compounded By Investments of the Black-Scholes Type

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dc.creatorKasozi, Juma
dc.creatorCharles, Wilson M.
dc.date2016-09-21T12:06:45Z
dc.date2016-09-21T12:06:45Z
dc.date2013
dc.date.accessioned2018-03-27T08:58:05Z
dc.date.available2018-03-27T08:58:05Z
dc.descriptionFull text can be accessed at http://search.proquest.com/openview/217fb7f4d22bffc20e97cf12041ecf7e/1.pdf?pq-origsite=gscholar&cbl=1816356
dc.descriptionThis work addresses the issue of dividend payouts of an insurer whose portfolio is exposed to insurance risk. The insurance risk arises from the perturbed classical surplus process commonly known as the Cramér-Lundberg model in the insurance literature. To enhance her financial base, the insurer invests into assets whose price dynamics are governed by a Black-Scholes model. We derive a linear Volterra integral equation of the second kind and solve the equations for each chosen barrier, thus generating corresponding dividend value functions. We have obtained the optimal barrier that maximises the expected discounted dividend payouts prior to ruin.
dc.identifierKasozi, J. and Mahera, C.W., 2013. DIVIDEND PAYOUTS IN A PERTURBED RISK PROCESS COMPOUNDED BY INVESTMENTS OF THE BLACK-SCHOLES TYPE. Far East Journal of Applied Mathematics, 82(1), p.1.
dc.identifierhttp://hdl.handle.net/20.500.11810/3784
dc.identifier.urihttp://hdl.handle.net/20.500.11810/3784
dc.languageen
dc.subjectCramér-Lundberg model
dc.subjectInsurance
dc.subjectVolterra integral equations
dc.subjectBarrier strategy
dc.subjectDividends
dc.titleDividend Payouts in a Perturbed Risk Process Compounded By Investments of the Black-Scholes Type
dc.typeJournal Article

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