| dc.creator |
Kasumo, Christian |
|
| dc.creator |
Kasozi, Juma |
|
| dc.creator |
Kuznetsov, Dmitry |
|
| dc.date |
2020-07-10T06:16:49Z |
|
| dc.date |
2020-07-10T06:16:49Z |
|
| dc.date |
2020-06 |
|
| dc.date.accessioned |
2022-10-25T09:15:57Z |
|
| dc.date.available |
2022-10-25T09:15:57Z |
|
| dc.identifier |
https://dspace.nm-aist.ac.tz/handle/20.500.12479/843 |
|
| dc.identifier.uri |
http://hdl.handle.net/123456789/94715 |
|
| dc.description |
This research article published by Applications and Applied Mathematics, Vol. 15, Issue 1 (June 2020) |
|
| dc.description |
We 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.format |
application/pdf |
|
| dc.language |
en |
|
| dc.publisher |
Applications and Applied Mathematics |
|
| dc.subject |
Hamilton-Jacobi-Bellman equation |
|
| dc.subject |
Volterra equation |
|
| dc.subject |
Block-by-block method |
|
| dc.subject |
Ruin probability |
|
| dc.subject |
Ruin probability target |
|
| dc.title |
Dividend Maximization Under a Set Ruin Probability Target in the Presence of Proportional and Excess-of-loss Reinsurance |
|
| dc.type |
Article |
|