ScholarLens Back to search
2010•Chinese Control ConferenceRequires access

The optimal dividend problem in the compound Poisson model with covering the deficit at ruin

Jing Zhang, Zhao Xiu-ping

Open publisher page 0 citations

Abstract

In this paper, We consider the optimal dividend problem in the compound Poisson model with covering the deficit at ruin which is restrained to strategies with restricted densities. As explained by Dickson and Waters (2004), the shareholders should be liable to cover the deficit at ruin. Therefore, we want to maximize the expectation of the difference between the accumulated discounted dividends until ruin and the discounted deficit at ruin, and find out the optimal dividend strategy. We obtain explicit solutions of V(x) when the claim amount distribution is exponential.

About this research paper

What this paper is about

In this paper, We consider the optimal dividend problem in the compound Poisson model with covering the deficit at ruin which is restrained to strategies with restricted densities. As explained by Dickson and Waters (2004), the shareholders should be liable to cover the deficit at ruin. Therefore, we want to maximize the expectation of the difference between the accumulated discounted dividends until ruin and the discounted deficit at ruin, and find out the optimal dividend strategy. We obtain explicit solutions of V(x) when the claim amount distribution is exponential.

Why it matters

A significance statement is not available in the OpenAlex record.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

In this paper, We consider the optimal dividend problem in the compound Poisson model with covering the deficit at ruin which is restrained to strategies with restricted densities. As explained by Dickson and Waters (2004), the shareholders should be liable to cover the deficit at ruin. Therefore, we want to maximize the expectation of the difference between the accumulated discounted dividends until ruin and the discounted deficit at ruin, and find out the optimal dividend strategy. We obtain explicit solutions of V(x) when the claim amount distribution is exponential.

Key concepts: Dividend, Ruin theory, Poisson distribution, Mathematics, Cover (algebra), Exponential function, Mathematical economics, Compound Poisson process

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
The optimal dividend problem in the compound Poisson model with covering the deficit at ruin — Research Paper | ScholarLens