• 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