Abstract:
The classic insurance company work model with gamma-distribution of claim amount is considered. It is supposed that the company applies a dividend barrier strategy. The form of the expected discounted dividends accumulated until the ruin and the expected discounted deficit at the ruin are found. We deals with the optimal barriers which maximizes either the dividends amount or shareholders profit. The barrier optimisation is illustrated by some examples.
Key words:gamma-distribution of claims, discounted dividends, profit, barrier strategies, Dickson and Waters modification.
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