Politicas de dividendos y probabilidad de ruina

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

No 60, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: In this paper we introduce different kinds of dividend barriers in the classical model ruin theory. We study the influence of barrier strategy on ruin probability. A method based on renewal equations [Grandell (1991)], alternative to differential argument [Gerber (1975)], is used to get the partial differential equations to solve survival probabilities. Finally we calculate and compare the survival probabilities using the linear and the parabolic dividend barrier, with help of simulation.

Pages: 17 pages
Date: 2000
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