In the collective risk theory framework we consider a model in which the reserve earns interest at a constant rate . In this model we consider the dynamic solvency insurance contract (proposed by Gerber and Pafumi, 1998) and the dividends paid according to a linear dividend barrier. We assume that the ruin occurs whenever the reserve falls below a suitable level k and we analyze the possible values of k. We derive a general equation for dividends expected present value. We also give an integro-differential equation with boundary conditions. Finally, we present some cases of interest and a particular case where an explicit solution can be obtained.

Dividends and Dynamic Solvency Insurance

GOSIO, CRISTINA;LARI, ESTER CESARINA;RAVERA, MARINA
2011

Abstract

In the collective risk theory framework we consider a model in which the reserve earns interest at a constant rate . In this model we consider the dynamic solvency insurance contract (proposed by Gerber and Pafumi, 1998) and the dividends paid according to a linear dividend barrier. We assume that the ruin occurs whenever the reserve falls below a suitable level k and we analyze the possible values of k. We derive a general equation for dividends expected present value. We also give an integro-differential equation with boundary conditions. Finally, we present some cases of interest and a particular case where an explicit solution can be obtained.
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11567/265303
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact