We consider the finite time horizon dividend-ruin model where the firm pays out dividends to its shareholders according to a dividend-barrier strategy and becomes ruined when the firm asset value falls below the default threshold. The asset value process is modeled as a restricted Geometric Brownian process with an upper reflecting (dividend) barrier and a lower absorbing (ruin) barrier. Analyt...

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...

Based on different objectives, various insurance risk models with adaptive polices have been proposed, such as dividend model, tax model, model with credibility premium, and so on. In this report, we will only focus the study on dividend strategies. Here are some reasons why the dividend strategy is of interest. For an insurance company, ruin occurs when a claim size is greater than its reserve...

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...

In this short paper, we show how uctuation identities for Lévy processes with no positive jumps yield the distribution of the present value of dividend payments until ruin in a Lévy insurance risk model with a dividend barrier.

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 a company where surplus follows a rather general diffusion process and whose objective is to maximize expected discounted dividend payments. With each dividend payment there are transaction costs and taxes and it is shown in [7] that under some reasonable assumptions, optimality is achieved by using a lump sum dividend barrier strategy, i.e. there is an upper barrier ...

In the talk we will address the problem of finding an optimal dividend policy for a class of jumpdiffusion processes. The jump component is a compound Poisson process with negative jumps, and the drift and diffusion components are assumed to satisfy some regularity and growth restrictions. With each dividend payment there is associated a fixed and a proportional cost. The aim is to maximize exp...

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 ...

In the absence of investment and dividend payments, the surplus is modeled by a Brownian motion. But now assume that the surplus earns investment income at a constant rate of credit interest. Dividends are paid to the shareholders according to a barrier strategy. It is shown how the expected discounted value of the dividends and the optimal dividend barrier can be calculated; Kummer’s confluent...