Dividend maximization in an insurance process compounded by investment returns under ruin probability constraint

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dc.contributor.authorNansubuga, Martha
dc.date.accessioned2019-11-02T07:23:27Z
dc.date.accessioned2020-01-07T15:45:22Z
dc.date.available2019-11-02T07:23:27Z
dc.date.available2020-01-07T15:45:22Z
dc.date.issued2013
dc.descriptionAvailable in print copyen_US
dc.description.abstractThis 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.en_US
dc.identifier.citationNansubuga, 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)en_US
dc.identifier.urihttp://localhost:8080/xmlui/handle/123456789/1646
dc.language.isoenen_US
dc.publisherUniversity of Dar es Salaamen_US
dc.subjectInsuranceen_US
dc.subjectDividendsen_US
dc.subjectInvestmenten_US
dc.subjectMathematical modelsen_US
dc.titleDividend maximization in an insurance process compounded by investment returns under ruin probability constrainten_US
dc.typeThesisen_US

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