2010•Unpublished venueRequires access
The Optimal Dividend Problem and the Voluntary Ruin Barrier in the Compound Poisson Model with Debit Interest
Jinyan Zhao, Liu Guoxin
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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.