Optimal dividends with incomplete information in the dual model
AbstractIn [Gerber, H.U., Shiu, E.S.W., Smith, N., 2008. Methods for estimating the optimal dividend barrier and the probability of ruin. Insurance: Math. Econ. 42 (1), 243-254], methods were analyzed for estimating the optimal dividend barrier (in the sense of de Finetti). In particular, De Vylder approximations and diffusion approximations are discussed. These methods are useful when only the first few moments of the claim amount distribution are known. The purpose of this paper is to examine these and other methods (such as the gamma approximations and the gamproc approximations) in the dual model, see [Avanzi, B., Gerber, H.U., Shiu, E.S., 2007. Optimal dividends in the dual model. Insurance: Math. Econ. 41 (1), 111-123]. The dual model is obtained if the roles of premiums and claims are exchanged. In other words, the company has random gains, which constitute a compound Poisson process, and expenses occur continuously at a constant rate. The approximations can easily be implemented, and their accuracy is surprisingly good. Several numerical illustrations enhance the paper.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 43 (2008)
Issue (Month): 2 (October)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/505554
Optimal dividend barrier De Vylder approximations Diffusion approximations Gamma approximations Gamma process approximations;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Avanzi, Benjamin & U. Gerber, Hans & S.W. Shiu, Elias, 2007. "Optimal dividends in the dual model," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 111-123, July.
- Gerber, Hans U. & Shiu, Elias S.W. & Smith, Nathaniel, 2008. "Methods for estimating the optimal dividend barrier and the probability of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 243-254, February.
- Hongshuai Dai & Zaiming Liu & Nana Luan, 2010. "Optimal dividend strategies in a dual model with capital injections," Computational Statistics, Springer, vol. 72(1), pages 129-143, August.
- Avanzi, Benjamin & Cheung, Eric C.K. & Wong, Bernard & Woo, Jae-Kyung, 2013. "On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 98-113.
- Afonso, Lourdes B. & Cardoso, Rui M.R. & Egídio dos Reis, Alfredo D., 2013. "Dividend problems in the dual risk model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 906-918.
- Ng, Andrew C.Y., 2009. "On a dual model with a dividend threshold," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 315-324, April.
- Meng, Hui & Siu, Tak Kuen, 2011.
"On optimal reinsurance, dividend and reinvestment strategies,"
Elsevier, vol. 28(1-2), pages 211-218, January.
- Meng, Hui & Siu, Tak Kuen, 2011. "On optimal reinsurance, dividend and reinvestment strategies," Economic Modelling, Elsevier, vol. 28(1), pages 211-218.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.