| dc.creator |
Kasozi, Juma |
|
| dc.creator |
Mayambala, Fred |
|
| dc.creator |
Charles, Wilson M. |
|
| dc.date |
2016-09-21T12:06:48Z |
|
| dc.date |
2016-09-21T12:06:48Z |
|
| dc.date |
2011 |
|
| dc.date.accessioned |
2018-03-27T08:58:05Z |
|
| dc.date.available |
2018-03-27T08:58:05Z |
|
| dc.identifier |
Kasozi, (2011). Dividend Maximization in the Cramer-Lundberg Model using Homotopy Analysis Method. Journal of Mathematics and Statistics, 7(1), pp.61-67. |
|
| dc.identifier |
1558-6359 |
|
| dc.identifier |
http://hdl.handle.net/20.500.11810/3785 |
|
| dc.identifier |
10.3844/jmssp.2011.61.67 |
|
| dc.identifier.uri |
http://hdl.handle.net/20.500.11810/3785 |
|
| dc.description |
Full text can be accessed at
http://thescipub.com/html/10.3844/jmssp.2011.61.67 |
|
| dc.description |
Problem statement: We used the Homotopy Analysis Method (HAM) to numerically compute the value function of the dividend payment in the basic insurance process. Approach: The process is a constant income stream from premiums which is subtracted a claim process of the Poisson type. Further, an allowance for payment of dividends to share holders was incorporated. Results: The case when the claims are exponential has an analytical solution. The HAM was then applied to the resulting Hamilton-Jacobi-Bellman equation and the numerical results obtained were compared to the theoretical results in order to check the validity of the method. Conclusion: The HAM was then applied to the model to check for other claim size distributions. The results obtained are very encouraging. |
|
| dc.language |
en |
|
| dc.title |
Dividend Maximization in the Cramer-Lundberg Model using Homotopy Analysis Method |
|
| dc.type |
Journal Article |
|