Dividend optimization under the gamma-distribution of claims |
| |
Authors: | N. V. Karapetyan |
| |
Affiliation: | 1.Faculty of Mechanics and Mathematics,Moscow State University,Leninskie Gory, Moscow,Russia |
| |
Abstract: | The classic insurance company work model with gamma-distribution of claim amount is considered. It is supposed that the company applies a dividend barrier strategy. The form of the expected discounted dividends accumulated until the ruin and the expected discounted deficit at the ruin are found. We deal with the optimal barriers which maximize either the dividends amount or shareholders profit. The barrier optimization is illustrated by some examples. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|