Optimal Dividends Under a Ruin Probability Constraint

D. C. M. Dickson and S. Drekic

Annals of Actuarial Science, 2006, vol. 1, issue 2, 291-306

Abstract: We consider a classical surplus process modified by the payment of dividends when the insurer's surplus exceeds a threshold. We use a probabilistic argument to obtain general expressions for the expected present value of dividend payments, and show how these expressions can be applied for certain individual claim amount distributions. We then consider the question of maximising the expected present value of dividend payments subject to a constraint on the insurer's ruin probability.

Date: 2006
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