Title :
The Optimal Dividend Problem and the Voluntary Ruin Barrier in the Compound Poisson Model with Debit Interest
Author :
Jinyan, Zhao ; Guoxin, Liu
Author_Institution :
Sch. of Math. Sci. & Comput. Technol., Central South Univ., Changsha, China
Abstract :
We consider the optimal dividend problem in the restricted dividend rate setting in the compound Poisson model with debit interest. And find a new ruin barrier-voluntary ruin barrier below which the insurers would rather stop their activities than continue taking the debit. Explicit solutions are given out when the claim amount distribution is exponential.
Keywords :
economic indicators; insurance; stochastic processes; claim amount distribution; compound Poisson model; debit interest; insurance company; optimal dividend problem; restricted dividend rate setting; ruin barrier-voluntary ruin barrier; Computers; Indium tin oxide; Infinite horizon; Insurance; Lead compounds; Mathematical model; Mathematics; Poisson equations; Portfolios; HJB equation; optimal strategy; the optimal dividend problem; threshold strategy; value function; voluntary ruin barrier;
Conference_Titel :
Information and Computing (ICIC), 2010 Third International Conference on
Conference_Location :
Wuxi, Jiang Su
Print_ISBN :
978-1-4244-7081-5
Electronic_ISBN :
978-1-4244-7082-2
DOI :
10.1109/ICIC.2010.27
