Optimal dividend payment under time of ruin contraint: Exponential case

Camilo Hernandez and Mauricio Junca

Papers from arXiv.org

Abstract: We consider the classical optimal dividends problem under the Cram\'er-Lundberg model with exponential claim sizes subject to a constraint on the time of ruin. We introduce the dual problem and show that the complementary slackness conditions are satisfied, thus there is no duality gap. Therefore the optimal value function can be obtained as the point-wise infimum of auxiliary value functions indexed by Lagrange multipliers. We also present a series of numerical examples.

Date: 2014-10, Revised 2015-05
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Citations: View citations in EconPapers (3)

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