منابع مشابه
Finite time dividend-ruin models
We consider the finite time horizon dividend-ruin model where the firm pays out dividends to its shareholders according to a dividend-barrier strategy and becomes ruined when the firm asset value falls below the default threshold. The asset value process is modeled as a restricted Geometric Brownian process with an upper reflecting (dividend) barrier and a lower absorbing (ruin) barrier. Analyt...
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We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process is described by a diffusion model with constant and observable volatility and constant but unknown drift parameter. For transforming the problem to a problem with complete information, we derive a suitable f...
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Hansjörg Albrecher, Reinhold Kainhofer, Robert F. Tichy In the framework of classical risk theory we consider the process Rt = u+ c t− ∑N(t) i=1 Xi, where c is a constant premium density, N(t) denotes a homogeneous Poisson process with intensity λ which counts the claims up to time t, and the claim amounts Xi are iid random variables with distribution function F (y). In this context Rt represen...
متن کاملDividend Maximization under Consideration of the Time Value of Ruin∗
In the Cramér-Lundberg model and its di usion approximation, it is a classical problem to nd the optimal dividend payment strategy that maximizes the expected value of the discounted dividend payments until ruin. One often raised disadvantage of this approach is the fact that such a strategy does not take the life time of the controlled process into account. In this paper we introduce a value f...
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In this paper we give an introduction to collective risk theory in its simplest form. Our aims are to indicate how some basic facts may be obtained by martingale methods and to point out some open problems
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.964089