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Document Details :

Title: Maximizing Dividends Without Bankruptcy
Author(s): GERBER, Hans U. , SHIU, Elias S.W. , SMITH, Nathaniel
Journal: ASTIN Bulletin
Volume: 36    Issue: 1   Date: May 2006   
Pages: 5-23
DOI: 10.2143/AST.36.1.2014143

Abstract :
Consider the classical compound Poisson model of risk theory, in which dividends are paid to the shareholders according to a barrier strategy. Let b* be the level of the barrier that maximizes the expectation of the discounted dividends until ruin. This paper is inspired by Dickson and Waters (2004). They point out that the shareholders should be liable to cover the deficit at ruin. Thus, they consider b0, the level of the barrier that maximizes the expectation of the difference between the discounted dividends until ruin and the discounted deficit at ruin. In this paper, b* and b0 are compared, when the claim amount distribution is exponential or a combination of exponentials.

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