Semiparametric estimation in the optimal dividend barrier for the classical risk model. Issue 9 (21st October 2018)

• Record Type: Journal Article
• Authors: Shiraishi, Hiroshi; Lu, Zudi
• Is Part Of: Scandinavian actuarial journal. Volume 2018:Issue 9(2018)
• Page Start: 845
• Page End: 862
• Publication Date: 2018-10-21
• Subjects: Semiparametric estimation -- dividend -- ruin theory -- compound poisson -- statistical estimation -- Beekman's convolution series; Insurance, Life -- Mathematics -- Periodicals; Insurance -- Mathematics -- Periodicals; 368.01
• DOI: 10.1080/03461238.2018.1463557
• Languages: English
• ISSNs: 0346-1238

Abstract

Abstract: In the context of an insurance portfolio which provides dividend income for the insurance company's shareholders, an important problem in risk theory is how the premium income will be paid to the shareholders as dividends according to a barrier strategy until the next claim occurs whenever the surplus attains the level of 'barrier'. In this paper, we are concerned with the estimation of optimal dividend barrier, defined as the level of the barrier that maximizes the expected discounted dividends until ruin, under the widely used compound Poisson model as the aggregate claims process. We propose a semi-parametric statistical procedure for estimation of the optimal dividend barrier, which is critically needed in applications. We first construct a consistent estimator of the objective function that is complexly related to the expected discounted dividends and then the estimated optimal dividend barrier as the minimizer of the estimated objective function. In theory, we show that the constructed estimator of the optimal dividend barrier is statistically consistent. Numerical experiments by both simulated and real data analyses demonstrate that the proposed estimators work reasonably well with an appropriate size of samples.