Dividend Maximization in the Cramer-Lundberg Model using Homotopy Analysis Method

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dc.contributor.authorKasozi, Juma
dc.contributor.authorMayambala, Fred
dc.contributor.authorCharles, Wilson M.
dc.date.accessioned2016-09-21T12:06:48Z
dc.date.available2016-09-21T12:06:48Z
dc.date.issued2011
dc.descriptionFull text can be accessed at http://thescipub.com/html/10.3844/jmssp.2011.61.67en_US
dc.description.abstractProblem statement: We used the Homotopy Analysis Method (HAM) to numerically compute the value function of the dividend payment in the basic insurance process. Approach: The process is a constant income stream from premiums which is subtracted a claim process of the Poisson type. Further, an allowance for payment of dividends to share holders was incorporated. Results: The case when the claims are exponential has an analytical solution. The HAM was then applied to the resulting Hamilton-Jacobi-Bellman equation and the numerical results obtained were compared to the theoretical results in order to check the validity of the method. Conclusion: The HAM was then applied to the model to check for other claim size distributions. The results obtained are very encouraging.en_US
dc.identifier.citationKasozi, (2011). Dividend Maximization in the Cramer-Lundberg Model using Homotopy Analysis Method. Journal of Mathematics and Statistics, 7(1), pp.61-67.en_US
dc.identifier.doi10.3844/jmssp.2011.61.67
dc.identifier.issn1558-6359
dc.identifier.urihttp://hdl.handle.net/20.500.11810/3785
dc.language.isoenen_US
dc.titleDividend Maximization in the Cramer-Lundberg Model using Homotopy Analysis Methoden_US
dc.typeJournal Articleen_US
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