Politicas de dividendos y probabilidad de ruina

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.

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Year of publication:	2000
Authors:	Escolano, Antonio Alegre ; Bielsa, M. Mercedes Claramunt ; Jimenez, Maite Teresa Marmol
Institutions:	Facultat d'Economia i Empresa, Universitat de Barcelona
Subject:	ruin \| survival probability \| theory \| dividend barriers

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Series:	Working Papers in Economics.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Documents de Treball Number 60 17 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005099940