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

Volume

1

fYear

2010

fDate

4-6 June 2010

Firstpage

81

Lastpage

84

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;

fLanguage

English

Publisher

ieee

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

Type

conf

DOI

10.1109/ICIC.2010.27

Filename

5514229