Optimal dividend problem for a generalized compound Poisson risk model

2013/05/08 by Chuancun Yin, Yin, Chuancun
Business, Management and Accounting · Decision Sciences · Economics, Econometrics and Finance · Mathematics · Social Sciences · #Advanced Queuing Theory Analysis #FOS: Economics and business #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Probability and Risk Models #math.PR #q-fin.PR

paper · pdf · doi:10.48550/arxiv.1305.1747

11 pages

openalex publication_date 2013/05/08 · arxiv created 2014/02/25 · arxiv updated 2014/02/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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 including the classical risk model and the Polya-Aeppli risk model as special cases. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. We show that under some conditions the optimal dividend strategy is formed by a barrier strategy.

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