Dividend Payouts in a Perturbed Risk Process Compounded By Investments of the Black-Scholes Type

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dc.contributor.authorKasozi, Juma
dc.contributor.authorCharles, Wilson M.
dc.date.accessioned2016-09-21T12:06:45Z
dc.date.available2016-09-21T12:06:45Z
dc.date.issued2013
dc.descriptionFull text can be accessed at http://search.proquest.com/openview/217fb7f4d22bffc20e97cf12041ecf7e/1.pdf?pq-origsite=gscholar&cbl=1816356en_US
dc.description.abstractThis work addresses the issue of dividend payouts of an insurer whose portfolio is exposed to insurance risk. The insurance risk arises from the perturbed classical surplus process commonly known as the Cramér-Lundberg model in the insurance literature. To enhance her financial base, the insurer invests into assets whose price dynamics are governed by a Black-Scholes model. We derive a linear Volterra integral equation of the second kind and solve the equations for each chosen barrier, thus generating corresponding dividend value functions. We have obtained the optimal barrier that maximises the expected discounted dividend payouts prior to ruin.en_US
dc.identifier.citationKasozi, J. and Mahera, C.W., 2013. DIVIDEND PAYOUTS IN A PERTURBED RISK PROCESS COMPOUNDED BY INVESTMENTS OF THE BLACK-SCHOLES TYPE. Far East Journal of Applied Mathematics, 82(1), p.1.en_US
dc.identifier.urihttp://hdl.handle.net/20.500.11810/3784
dc.language.isoenen_US
dc.subjectCramér-Lundberg modelen_US
dc.subjectInsuranceen_US
dc.subjectVolterra integral equationsen_US
dc.subjectBarrier strategyen_US
dc.subjectDividendsen_US
dc.titleDividend Payouts in a Perturbed Risk Process Compounded By Investments of the Black-Scholes Typeen_US
dc.typeJournal Articleen_US
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