20th of April 2016
Submit your abstract and participate to the Second Conference of European Statistics Stakeholders, that will be held in Budapest, 20-21, October 2016.
18th of December 2015
Voldoet mijn product aan kwaliteitseisen? Hoe kan ik mijn processen efficiënter maken? Sluit mijn product aan bij de wensen van de klant of andere stakeholders?
See all news
On optimal dividend problem for an insurance risk models with surplus-dependent premiums
||17th of October 2017 tot 8th of October 2017
We would like to invite you to the following talk of the Eindhoven Stochastics Seminar:
Zbigniew Palmowski (Wroclaw University of Science and Technology) - On optimal dividend problem for an insurance risk models with surplus-dependent premiums
Tuesday 17 October, 13.30-14.15, Room MF 5.209 (5th floor, MetaForum Building, TU/e)
In this talk we present an optimal dividend distribution problem for an insurance company with risk process with surplus-dependent premium (in the absence of dividend payments). Such a risk process is a particular case of so-called piecewise deterministic Markov process. The control mechanism chooses size of dividend payments. The objective is to maximize the sum of the expected cumulative discounted dividend payments received until the moment of ruin and a penalty payment at the moment of ruin which is an increasing function of the size of the shortfall at ruin.
A complete solution is presented to the corresponding stochastic control problem. We identify the associated HJB equation and find a necessary and sufficient conditions for optimality of a single dividend-band strategy, in terms of a particular Gerber-Shiu function. A number of concrete examples are analyzed.
Show whole calendar
| || || || |
`De Werelt' in Lunteren
13th of November 2017 - 15th of November 2017 Read more...
11th of December 2017 - 15th of December 2017 Read more...
8th of February 2018 - 9th of February 2018 Read more...
Leiden, the Netherlands
24th of April 2018 - 26th of April 2018 Read more...
View all calendar items