scholarly journals Semiparametric estimation in the optimal dividend barrier for the classical risk model

2018 ◽  
Vol 2018 (9) ◽  
pp. 845-862
Author(s):  
Hiroshi Shiraishi ◽  
Zudi Lu
Keyword(s):  
Risk Model ◽  
Semiparametric Estimation ◽  
Classical Risk Model ◽  
Optimal Dividend ◽  
The Classical Risk Model ◽  
Optimal Dividend Barrier

scholarly journals ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS

2014 ◽  
Vol 44 (3) ◽  
pp. 635-651 ◽  
Author(s):  
Chuancun Yin ◽  
Yuzhen Wen ◽  
Yongxia Zhao
Keyword(s):  
Lévy Process ◽  
Risk Model ◽  
Levy Process ◽  
Dual Model ◽  
Threshold Strategy ◽  
Classical Risk Model ◽  
Surplus Process ◽  
Optimal Dividend ◽  
Special Cases ◽  
The Classical Risk Model

AbstractIn this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Lévy process before dividends are deducted. This model includes the dual model of the classical risk model and the dual model with diffusion as special cases. We assume that dividends are paid to the shareholders according to an admissible strategy whose dividend rate is bounded by a constant. 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 the optimal dividend strategy is formed by a threshold strategy.

scholarly journals On Periodic Dividends for the Classical Risk Model with Debit Interest

2020 ◽  
Vol 2020 ◽  
pp. 1-8
Author(s):  
Hua Dong ◽  
Xianghua Zhao
Keyword(s):  
Differential Equations ◽  
Risk Model ◽  
Classical Risk Model ◽  
Arrival Times ◽  
Numerical Examples ◽  
Dividend Payments ◽  
Poisson Arrival ◽  
Optimal Dividend ◽  
Debit Interest ◽  
The Classical Risk Model

A periodic dividend problem is studied in this paper. We assume that dividend payments are made at a sequence of Poisson arrival times, and ruin is continuously monitored. First of all, three integro-differential equations for the expected discounted dividends are obtained. Then, we investigate the explicit expressions for the expected discounted dividends, and the optimal dividend barrier is given for exponential claims. A similar study on a generalized Gerber–Shiu function involving the absolute time is also performed. To demonstrate the existing results, we give some numerical examples.

scholarly journals A VaR-Type Risk Measure Derived from Cumulative Parisian Ruin for the Classical Risk Model

Risks ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 85 ◽  
Author(s):  
Mohamed Lkabous ◽  
Jean-François Renaud
Keyword(s):  
Risk Model ◽  
Risk Measures ◽  
Risk Measure ◽  
Short Paper ◽  
Classical Risk Model ◽  
Parisian Ruin ◽  
The Classical Risk Model

In this short paper, we study a VaR-type risk measure introduced by Guérin and Renaud and which is based on cumulative Parisian ruin. We derive some properties of this risk measure and we compare it to the risk measures of Trufin et al. and Loisel and Trufin.

An adaptive premium policy with a Bayesian motivation in the classical risk model

2012 ◽  
Vol 51 (2) ◽  
pp. 370-378 ◽  
Author(s):  
David Landriault ◽  
Christiane Lemieux ◽  
Gordon E. Willmot
Keyword(s):  
Risk Model ◽  
Classical Risk Model ◽  
The Classical Risk Model

scholarly journals Recursive Calculation of Survival Probabilities

1991 ◽  
Vol 21 (2) ◽  
pp. 199-221 ◽  
Author(s):  
David C. M. Dickson ◽  
Howard R. Waters
Keyword(s):  
Finite Time ◽  
Approximate Calculation ◽  
Risk Model ◽  
Classical Risk Model ◽  
Infinite Time ◽  
Numerical Examples ◽  
Survival Probabilities ◽  
Recursive Calculation ◽  
The Stability ◽  
The Classical Risk Model

AbstractIn this paper we present an algorithm for the approximate calculation of finite time survival probabilities for the classical risk model. We also show how this algorithm can be applied to the calculation of infinite time survival probabilities. Numerical examples are given and the stability of the algorithms is discussed.

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