IDEAS home Printed from https://ideas.repec.org/p/bar/bedcje/200399.html
   My bibliography  Save this paper

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

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://www.ere.ub.es/dtreball/E0399.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.
    2. Siegl, Thomas & Tichy, Robert F., 1999. "A process with stochastic claim frequency and a linear dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 51-65, March.
    3. Gerber, Hans U. & Goovaerts, Marc J. & Kaas, Rob, 1987. "On the Probability and Severity of Ruin," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 17(02), pages 151-163, November.
    Full references (including those not matched with items on IDEAS)

    More about this item

    JEL classification:

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

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:200399. See general information about how to correct material in RePEc.

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

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.