In this paper, we study the dividend payments prior to absolute ruin in a Markov-dependent risk process in which the claim occurrence and the claim amount are regulated by an external discrete time Markov chain. A system of integrodifferential equations with boundary conditions satisfied by the moment-generating function, the nth moment of the discounted dividend payments prior to absolute ruin...

in this paper, a compound binomial risk model in the presence of a constant dividend barrier is studied. two types of individual claims, main claims and by-claims, are defined, where every by-claim is induced by the main claim randomly and may be delayed for one time period with a certain probability. in the evaluation of the moments of the present value of dividends, the interest rates are ass...

We consider the problem of maximizing the expected utility of discounted dividend payments of an insurance company. The risk process, describing the insurance business of the company, is modeled as Brownian motion with drift. We mainly consider power utility and special emphasis is given to the limiting behavior when the coefficient of risk aversion tends to zero. We then find convergence of th...

In this paper, we consider the dividend payments prior to absolute ruin in a Markovian regime-switching risk process in which the rate for the Poisson claim arrivals and the distribution of the claim amounts are driven by an underlying Markov jump process. A system of integro-differential equations with boundary conditions satisfied by the moment-generating function, the n th moment of the disc...

In this note we study the optimal dividend problem for a company whose surplus process, in the absence of dividend payments, evolves as a generalized compound Poisson model in which the counting process is a generalized Poisson process. This model includes the classical risk model and the Pólya-Aeppli risk model as special cases. The objective is to find a dividend policy so as to maximize the ...

For the classical Cramér-Lundberg risk model, a dividend strategy of threshold type has recently been suggested in the literature. This strategy consists of paying out part of the premium income as dividends to shareholders whenever the free surplus is above a given threshold level. In contrast to the well-known horizontal barrier strategy, the threshold strategy can lead to a positive infinite...

In this paper we consider an optimal dividend problem for an insurance company which risk process evolves as a spectrally negative Lévy process (in the absence of dividend payments). We assume that the management of the company controls timing and size of dividend payments. The objective is to maximize the sum of the expected cumulative discounted dividends received until the moment of ruin and...

In the compound Poisson insurance risk model under a dividend barrier strategy, this paper aims to analyze jointly the aggregate discounted claim amounts until ruin and the total discounted dividends until ruin, which represent the insurer’s payments to its policyholders and shareholders, respectively. To this end, we introduce a Gerber–Shiu-type function, which further incorporates the higher ...

In this paper we consider the optimal dividend problem for an insurance company whose risk process evolves as a spectrally negative Lévy process in the absence of dividend payments. The classical dividend problem for an insurance company consists in finding a dividend payment policy that maximizes the total expected discounted dividends. Related is the problem where we impose the restriction th...

Yuzhen Wen and Chuancun Yin School of Mathematical Sciences, Qufu Normal University, Qufu, Shandong 273165, China Correspondence should be addressed to Yuzhen Wen, [email protected] Received 5 February 2012; Revised 16 April 2012; Accepted 20 April 2012 Academic Editor: Laurent Gosse Copyright q 2012 Y. Wen and C. Yin. This is an open access article distributed under the Creative Commons Attribu...