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Modeling and Asymptotic Analysis of Insurance Company Performanceстатья Электронная публикация
- Авторы: Bulinskaya E.V., Shigida B.I.
- Журнал: Communications in Statistics Part B: Simulation and Computation
- Год издания: 2019
- Издательство: Dekker
- Местоположение издательства: United States
- DOI: 10.1080/03610918.2019.1612911
- Аннотация: We consider a classical Cramér-Lundberg model with dividends. It is additionally supposed that the claim amounts have exponential distribution. Moreover, we are interested in a barrier dividend strategy with Parisian implementation delay. That means, the payment is made only if the company surplus stays above the barrier at least during time interval of length h. The mean expected discounted dividends paid before Parisian ruin are chosen as objective function. Optimization is carried out. The results are compared with those obtained previously by the authors for the no-delay case. Statistical estimation, stability problems and simulation are tackled as well.
- Добавил в систему: Булинская Екатерина Вадимовна