DocumentCode
532107
Title
Optimal dividends in a risk model with dependence between claim sizes and claim intervals
Author
Liu, Zaiming ; Dong, Hua
Author_Institution
Sch. of Math. Sci., Central South Univ., Changsha, China
Volume
3
fYear
2010
fDate
22-24 Oct. 2010
Abstract
In this paper, we investigate the optimal dividends in a classical surplus process with a dependence structure between the claim sizes and the interarrival times. We first obtain an integro-differential equation satisfied by the discounted dividend payments. Then we derive the explicit expression of the discounted dividend payments for exponential claims. Furthermore, we discuss the optimal dividend barrier when the claim sizes have a common exponential distribution. Finally, we give the numerical examples for exponential claims.
Keywords
finance; integro-differential equations; risk management; claim intervals; claim sizes; classical surplus process; discounted dividend payments; integro differential equation; interarrival times; optimal dividends; risk model; Optimal dividends; barrier strategies; dependence;
fLanguage
English
Publisher
ieee
Conference_Titel
Computer Application and System Modeling (ICCASM), 2010 International Conference on
Conference_Location
Taiyuan
Print_ISBN
978-1-4244-7235-2
Electronic_ISBN
978-1-4244-7237-6
Type
conf
DOI
10.1109/ICCASM.2010.5619984
Filename
5619984
Link To Document