IDEAS home Printed from https://ideas.repec.org/p/bar/bedcje/200285.html
   My bibliography  Save this paper

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
    as

    Download full text from publisher

    File URL: http://www.ere.ub.es/dtreball/E0285.rdf/at_download/file
    Download Restriction: no
    ---><---

    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.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Liang, Zhibin & Young, Virginia R., 2012. "Dividends and reinsurance under a penalty for ruin," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 437-445.
    2. Bo, Lijun & Song, Renming & Tang, Dan & Wang, Yongjin & Yang, Xuewei, 2012. "Lévy risk model with two-sided jumps and a barrier dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 280-291.
    3. Yin, Chuancun & Wen, Yuzhen, 2013. "An extension of Paulsen–Gjessing’s risk model with stochastic return on investments," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 469-476.
    4. Runhuan Feng & Hans Volkmer & Shuaiqi Zhang & Chao Zhu, 2011. "Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model," Papers 1106.2781, arXiv.org, revised Nov 2014.
    5. Pelsser, Antoon A.J. & Laeven, Roger J.A., 2013. "Optimal dividends and ALM under unhedgeable risk," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 515-523.
    6. He, Lin & Liang, Zongxia, 2008. "Optimal financing and dividend control of the insurance company with proportional reinsurance policy," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 976-983, June.
    7. Albrecher, Hansjörg & Thonhauser, Stefan, 2008. "Optimal dividend strategies for a risk process under force of interest," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 134-149, August.
    8. Yuen, Kam C. & Wang, Guojing & Li, Wai K., 2007. "The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 104-112, January.
    9. Dassios, Angelos & Wu, Shanle, 2009. "On barrier strategy dividends with Parisian implementation delay for classical surplus processes," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 195-202, October.
    10. Bjarne Højgaard & Michael Taksar, 2004. "Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 315-327.
    11. Irgens, Christian & Paulsen, Jostein, 2004. "Optimal control of risk exposure, reinsurance and investments for insurance portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 21-51, August.
    12. Leung, Kwai Sun & Kwok, Yue Kuen & Leung, Seng Yuen, 2008. "Finite-time dividend-ruin models," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 154-162, February.
    13. Dassios, Angelos & Wu, Shanle, 2011. "Barrier strategies with Parisian delay," LSE Research Online Documents on Economics 32024, London School of Economics and Political Science, LSE Library.
    14. Yuen, Kam-Chuen & Zhou, Ming & Guo, Junyi, 2008. "On a risk model with debit interest and dividend payments," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2426-2432, October.
    15. Sheldon Lin, X. & E. Willmot, Gordon & Drekic, Steve, 2003. "The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 551-566, December.
    16. Yao, Kai & Qin, Zhongfeng, 2015. "A modified insurance risk process with uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 227-233.
    17. Chuancun Yin & Yuzhen Wen, 2013. "An extension of Paulsen-Gjessing's risk model with stochastic return on investments," Papers 1302.6757, arXiv.org.
    18. Yang, Hailiang & Zhang, Lihong, 2005. "Optimal investment for insurer with jump-diffusion risk process," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 615-634, December.
    19. Yang, Wenquan & Hu, Yijun, 2009. "Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 63-69, January.
    20. Albrecher, Hansjorg & Claramunt, M.Merce & Marmol, Maite, 2005. "On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 324-334, October.

    More about this item

    JEL classification:

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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bar:bedcje:200285. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Espai de Recerca en Economia (email available below). General contact details of provider: https://edirc.repec.org/data/feubaes.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.