Company Value with Ruin Constraint in a Discrete Model
نویسندگان
چکیده
منابع مشابه
Company value with ruin constraint in a discrete model
Optimal dividend payment under a ruin constraint is a two objective control problem 1 which – in simple models – can be solved numerically by three essentially different methods. One 2 is based on a modified Bellman equation and the policy improvement method (see (2003)). In this 3 paper we use explicit formulas for running allowed ruin probabilities which avoid a complete search 4 and speed up...
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Using an approach similar to that of Gerber and Shiu (1998), a recursive formula is given for the expected discounted penalty due at ruin, in the discrete time risk model. With it the joint distribution of three random variables is obtained; time to ruin, the surplus just before ruin and the deficit at ruin. The time to ruin is analyzed through its probability generating function (p.g.f.). The ...
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ژورنال
عنوان ژورنال: Risks
سال: 2018
ISSN: 2227-9091
DOI: 10.3390/risks6010001