Some Optimal Dividends Problems

David C.M. Dickson and Howard R. Waters

ASTIN Bulletin, 2004, vol. 34, issue 1, 49-74

Abstract: 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.

Date: 2004
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