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Reparto de dividendos en una cartera de seguros no vida. Obtencion de la barrera constante optima bajo criterios economico-actuariales

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

    (Universitat de Barcelona)

Abstract

Consideramos el proceso clasico del riesgo modificado con la introduccion de una barrera de dividendos constante, de tal forma que cuando el proceso de reservas alcanza la barrera se pagan dividendos hasta la ocurrencia del siguiente siniestro. En la literatura actuarial se plantea el calculo de W(u,b) definida como la esperanza del valor actual, a un tanto constante, de los dividendos repartidos hasta el momento de ruina en un modelo con barrera constante b(t)=b. Se calcula el valor de la barrera que maximiza dicha esperanza. En este trabajo se realizan dos contribuciones en este tema. En primer lugar se profundiza en el analisis de W(u,b), proponiendose combinaciones de las variables de control que proporcionan resultados economicamente optimos. En segundo lugar se definen nuevas medidas relacionadas con W(u,b) que la complementan y pueden ayudar al decisor en el proceso de definicion de las variables de control.

Suggested Citation

  • Maite Teresa Marmol Jimenez & M. Mercedes Claramunt Bielsa & Antonio Alegre Escolano, 2003. "Reparto de dividendos en una cartera de seguros no vida. Obtencion de la barrera constante optima bajo criterios economico-actuariales," Working Papers in Economics 99, Universitat de Barcelona. Espai de Recerca en Economia.
    • Handle: RePEc:bar:bedcje:200399
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    References listed on IDEAS

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    JEL classification:

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

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