Risk Theory with Affine Dividend Payment Strategies

Hansjörg Albrecher () and Arian Cani ()
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Hansjörg Albrecher: Quartier UNIL-Dorigny, University of Lausanne and Swiss Finance Institute
Arian Cani: Quartier UNIL-Dorigny, University of Lausanne

A chapter in Number Theory – Diophantine Problems, Uniform Distribution and Applications, 2017, pp 25-60 from Springer

Abstract: Abstract We consider a classical compound Poisson risk model with affine dividend payments. We illustrate how both by analytical and probabilistic techniques closed-form expressions for the expected discounted dividends until ruin and the Laplace transform of the time to ruin can be derived for exponentially distributed claim amounts. Moreover, numerical examples are given which compare the performance of the proposed strategy to classical barrier strategies and illustrate that such affine strategies can be a noteworthy compromise between profitability and safety in collective risk theory.

Keywords: Discounted Dividend Payments; Barrier Strategy; Affine Scheme; Laplace Transform Approach; Classical Compound Poisson Risk Model (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-55357-3_2

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DOI: 10.1007/978-3-319-55357-3_2

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