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On optimal dividend problem for an insurance risk models with surplus-dependent premiums

Where:  Room MF 5.209 (5th floor, MetaForum Building, TU/e)
When:  17th of October 2017 tot 8th of October 2017
Starttime  13.30

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)

ABSTRACT
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.

 
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7th Stochastic Modelling meeting (StochMod 2018)

13th of June 2018 - 15th of June 2018 Read more...

ACM SIGMETRICS FOR 2018

Irvine, California, USA
18th of June 2018 - 22nd of June 2018 Read more...


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