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

Listed author(s):
  • Maite Teresa Marmol Jimenez
  • M. Mercedes Claramunt Bielsa
  • Antonio Alegre Escolano

    (Universitat de Barcelona)

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    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.

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    Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number 99.

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    Length: 26 pages
    Date of creation: 2003
    Handle: RePEc:bar:bedcje:200399
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    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.
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