Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077439 | Insurance: Mathematics and Economics | 2008 | 7 Pages |
Abstract
The purpose of this paper is to examine these and other methods (such as the gamma approximations and the gamproc approximations) in the dual model, see [Avanzi, B., Gerber, H.U., Shiu, E.S., 2007. Optimal dividends in the dual model. Insurance: Math. Econ. 41 (1), 111-123]. The dual model is obtained if the roles of premiums and claims are exchanged. In other words, the company has random gains, which constitute a compound Poisson process, and expenses occur continuously at a constant rate. The approximations can easily be implemented, and their accuracy is surprisingly good. Several numerical illustrations enhance the paper.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Hans U. Gerber, Nathaniel Smith,