کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077368 1374127 2008 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Methods for estimating the optimal dividend barrier and the probability of ruin
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Methods for estimating the optimal dividend barrier and the probability of ruin
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 1, February 2008, Pages 243-254
نویسندگان
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