Dividend maximization in an insurance process compounded by investment returns under ruin probability constraint
No Thumbnail Available
Date
2013
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
University of Dar es Salaam
Abstract
This work deals with dividend maximization in an Insurance process with ruin constraints. We consider two models, i.e the classical risk model with and without perturbed diffusion as the skeleton models for our work. The Insurance company is allowed to take advantage of Investment returns by investing in a risk free asset and a risky asset. The models have been formulated theoretically with all the parameters assumed to be unknown but from a certain set. We maximize expected discounted dividend payouts to shareholders under a pre- determined ruin probability constraint using a barrier strategy. In this work, Volterra Integral equations have been derived and solved using block-by-block methods. We have established the optimal barrier to use to pay dividends provided the ruin probability is no larger than the predetermined tolerance. The effect of Investments and ruin probability constraint has been investigated from the dividend value function.
Description
Available in print copy
Keywords
Insurance, Dividends, Investment, Mathematical models
Citation
Nansubuga, M.(2013). Dividend maximization in an insurance process compounded by investment returns under ruin probability constraint. Master dissertation, University of Dar es Salaam. Available at (http://41.86.178.3/internetserver3.1.2/search.aspx?formtype=advanced)