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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.

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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