On optimal dividends with penalty payments in the Cramér–Lundberg model

2017 ◽  
Vol 7 (2) ◽  
pp. 535-552
Author(s):  
Matthias Vierkötter
Keyword(s):  
Optimal Dividends

Optimal dividends with an affine penalty

2019 ◽  
Vol 60 (1-2) ◽  
pp. 703-730
Author(s):  
Zhibin Liang ◽  
Virginia R. Young
Keyword(s):  
Optimal Dividends

scholarly journals Some Optimal Dividends Problems

2004 ◽  
Vol 34 (1) ◽  
pp. 49-74 ◽  
Author(s):  
David C.M. Dickson ◽  
Howard R. Waters
Keyword(s):  
Discrete Time ◽  
Risk Model ◽  
Present Value ◽  
Classical Risk Model ◽  
Optimal Dividends ◽  
Surplus Process ◽  
Dividend Payments ◽  
Constant Dividend Barrier ◽  
De Finetti ◽  
The Classical Risk Model

We consider a situation originally discussed by De Finetti (1957) in which a surplus process is modified by the introduction of a constant dividend barrier. We extend some known results relating to the distribution of the present value of dividend payments until ruin in the classical risk model and show how a discrete time risk model can be used to provide approximations when analytic results are unavailable. We extend the analysis by allowing the process to continue after ruin.

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