Finance Department

 

Date of this Version

2005

Document Type

Article

Citation

Journal of Actuarial Practice 12 (2005), pp. 215-225

Comments

Copyright 2005 Absalom Press

Abstract

We consider the surplus process of a non-life insurance portfolio with a dividend component represented by a constant dividend barrier strategy. The optimal dividend barrier is known when individual claim amounts follow an exponential distribution. This result for the optimal dividend barrier is used to develop combinations of the levels of the insurer's initial surplus and of the barrier which, under certain economic and financial criteria, can be regarded as optimal.

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