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Discrete analysis of dividend payments in a non-life insurance portfolio

Author

Listed:
  • M. Mercedes Claramunt Bielsa
  • Maite Teresa Marmol Jimenez
  • Antonio Alegre Escolano

    (Universitat de Barcelona)

Abstract

The process of free reserves in a non-life insurance portfolio as defined in the classical model of risk theory is modified by the introduction of dividend policies that set maximum levels for the accumulation of reserves. The first part of the work formulates the quantification of the dividend payments via the expectation of their current value under different hypotheses. The second part presents a solution based on a system of linear equations for discrete dividend payments in the case of a constant dividend barrier, illustrated by solving a specific case.

Suggested Citation

  • M. Mercedes Claramunt Bielsa & Maite Teresa Marmol Jimenez & Antonio Alegre Escolano, 2002. "Discrete analysis of dividend payments in a non-life insurance portfolio," Working Papers in Economics 85, Universitat de Barcelona. Espai de Recerca en Economia.
  • Handle: RePEc:bar:bedcje:200285
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    References listed on IDEAS

    as
    1. Paulsen, Jostein & Gjessing, Hakon K., 1997. "Optimal choice of dividend barriers for a risk process with stochastic return on investments," Insurance: Mathematics and Economics, Elsevier, vol. 20(3), pages 215-223, October.
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    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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