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Some Optimal Dividends Problems

Published online by Cambridge University Press:  17 April 2015

David C.M. Dickson  and
Howard R. Waters
David C.M. Dickson
Affiliation:
Centre for Actuarial Studies, Department of Economics, University of Melbourne, Victoria 3010, Australia, Email: dcmd@unimelb.edu.au
Howard R. Waters
Affiliation:
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh EH14 4AS, Great Britain, Email: H.R.Waters@ma.hw.ac.uk
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Abstract

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We consider a situation originally discussed by De Finetti (1957) in which a surplus process is modified by the introduction of a constant dividend barrier. We extend some known results relating to the distribution of the present value of dividend payments until ruin in the classical risk model and show how a discrete time risk model can be used to provide approximations when analytic results are unavailable. We extend the analysis by allowing the process to continue after ruin.

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Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 34 , Issue 1 , May 2004 , pp. 49 - 74
Copyright
Copyright © ASTIN Bulletin 2004

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