Journal article
Methods for estimating the optimal dividend barrier and the probability of ruin
Insurance, mathematics & economics, Vol.42(1), pp.243-254
2008
DOI: 10.1016/j.insmatheco.2007.02.002
Abstract
In applications of collective risk theory, complete information about the individual claim amount distribution is often not known, but reliable estimates of its first few moments may be available. For such a situation, this paper develops methods for estimating the optimal dividend barrier and the probability of ruin. In particular, two De Vylder approximations are explained, and the first and second order diffusion approximations are examined. For several claim amount distributions, the approximate values are compared numerically with the exact values. The De Vylder and diffusion approximations can be adapted to the more general situation where the aggregate claims process is a Lévy process with nonnegative increments.
Details
- Title: Subtitle
- Methods for estimating the optimal dividend barrier and the probability of ruin
- Creators
- Hans U Gerber - Ecole des hautes études commerciales, Université de Lausanne, CH-1015 Lausanne, SwitzerlandElias S.W Shiu - Department of Statistics and Actuarial Science, The University of Iowa, Iowa City, IA 52242-1409, USANathaniel Smith - Ecole des hautes études commerciales, Université de Lausanne, CH-1015 Lausanne, Switzerland
- Resource Type
- Journal article
- Publication Details
- Insurance, mathematics & economics, Vol.42(1), pp.243-254
- DOI
- 10.1016/j.insmatheco.2007.02.002
- ISSN
- 0167-6687
- eISSN
- 1873-5959
- Publisher
- Elsevier B.V
- Language
- English
- Date published
- 2008
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9983985915902771
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