Dividend Maximization Under a Set Ruin Probability Target in the Presence of Proportional and Excess-of-loss Reinsurance

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dc.creatorKasumo, Christian
dc.creatorKasozi, Juma
dc.creatorKuznetsov, Dmitry
dc.date2020-07-10T06:16:49Z
dc.date2020-07-10T06:16:49Z
dc.date2020-06
dc.date.accessioned2022-10-25T09:15:57Z
dc.date.available2022-10-25T09:15:57Z
dc.descriptionThis research article published by Applications and Applied Mathematics, Vol. 15, Issue 1 (June 2020)
dc.descriptionWe study dividend maximization with set ruin probability targets for an insurance company whose surplus is modelled by a diffusion perturbed classical risk process. The company is permitted to enter into proportional or excess-of-loss reinsurance arrangements. By applying stochastic control theory, we derive Volterra integral equations and solve numerically using block-by-block methods. In each of the models, we have established the optimal barrier to use for paying dividends provided the ruin probability does not exceed a predetermined target. Numerical examples involving the use of both light- and heavy-tailed distributions are given. The results show that ruin probability targets result in an improvement in the optimal barrier to be used for dividend payouts. This is the case for light- and heavy-tailed distributions and applies regardless of the risk model used.
dc.formatapplication/pdf
dc.identifierhttps://dspace.nm-aist.ac.tz/handle/20.500.12479/843
dc.identifier.urihttp://hdl.handle.net/123456789/94715
dc.languageen
dc.publisherApplications and Applied Mathematics
dc.subjectHamilton-Jacobi-Bellman equation
dc.subjectVolterra equation
dc.subjectBlock-by-block method
dc.subjectRuin probability
dc.subjectRuin probability target
dc.titleDividend Maximization Under a Set Ruin Probability Target in the Presence of Proportional and Excess-of-loss Reinsurance
dc.typeArticle

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