Optimal dividend payments under a time of ruin constraint: Exponential claims
نویسندگان
چکیده
منابع مشابه
Optimal dividend payment under a ruin constraint: discrete time and state space
Consider the following stylized model for insurance business: X1,X2, ... the total sum of claims per period are iid nonnegative integer valued, c the total premium per period is a positive integer, and the initial surplus s is a non negative integer. The reserve R(t) of the company without dividend payment evolves as R(0) = s and R(t+ 1) = R(t) + c−Xt+1, t ≥ 0. Throughout the paper we assume th...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2015
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2015.09.010