Discrete analysis of dividend payments in a non-life insurance portfolio

M. Mercedes Claramunt Bielsa, Maite Teresa Marmol Jimenez and Antonio Alegre Escolano
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Antonio Alegre Escolano: Universitat de Barcelona

No 85, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: The process of free reserves in a non-life insurance portfolio as defined in the classical model of risk theory is modified by the introduction of dividend policies that set maximum levels for the accumulation of reserves. The first part of the work formulates the quantification of the dividend payments via the expectation of their current value under different hypotheses. The second part presents a solution based on a system of linear equations for discrete dividend payments in the case of a constant dividend barrier, illustrated by solving a specific case.

JEL-codes: G22 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2002
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