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dc.rights.licensehttps://creativecommons.org/licenses/by-sa/2.5/ar/es_AR
dc.contributor.authorAlbrecher, Hansjörges_AR
dc.contributor.authorAzcue, Pabloes_AR
dc.contributor.authorMuler, Noraes_AR
dc.date.accessioned2023-11-17T22:17:23Z
dc.date.available2023-11-17T22:17:23Z
dc.date.issued2023
dc.identifier.urihttps://repositorio.utdt.edu/handle/20.500.13098/12142
dc.description.abstractIn this paper we study the problem of optimally paying out dividends from an insurance portfolio, when the criterion is to maximize the expected discounted dividends over the lifetime of the company and the portfolio contains claims due to natural catastrophes, modelled by a shot-noise Cox claim number process. The optimal value function of the resulting two-dimensional stochastic control problem is shown to be the smallest viscosity supersolution of a corresponding Hamilton-Jacobi-Bellman equation, and we prove that it can be uniformly approximated through a discretization of the space of the free surplus of the portfolio and the current claim intensity level. We implement the resulting numerical scheme to identify optimal dividend strategies for such a natural catastrophe insurer, and it is shown that the nature of the barrier and band strategies known from the classical models with constant Poisson claim intensity carry over in a certain way to this more general situation, leading to action and non-action regions for the dividend payments as a function of the current surplus and intensity level. We also discuss some interpretations in terms of upward potential for shareholders when including a catastrophe sector in the portfolio.es_AR
dc.format.extent32 p.es_AR
dc.format.mediumapplication/pdfes_AR
dc.languageenges_AR
dc.publisherUniversidad Torcuato Di Tellaes_AR
dc.rightsinfo:eu-repo/semantics/openAccesses_AR
dc.subjectPortfolio Managementes_AR
dc.subjectInsurancees_AR
dc.subjectProbabilityes_AR
dc.titleOptimal dividend strategies for a catastrophe insureres_AR
dc.typeinfo:eu-repo/semantics/preprintes_AR
dc.subject.keywordNatural Catastrophees_AR
dc.subject.keywordHamilton-Jacobi-Bellman equationes_AR
dc.type.versioninfo:eu-repo/semantics/submittedVersiones_AR


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