On Risk Model with Dividends Payments Perturbed by a Brownian Motion – An Algorithmic Approach

Esther Frostig

ASTIN Bulletin, 2008, vol. 38, issue 1, 183-206

Abstract: Assume that an insurance company pays dividends to its shareholders whenever the surplus process is above a given threshold. In this paper we study the expected amount of dividends paid, and the expected time to ruin in the compound Poisson risk process perturbed by a Brownian motion. Two models are considered: In the first one the insurance company pays whatever amount exceeds a given level b as dividends to its shareholders. In the second model, the company starts to pay dividends at a given rate, smaller than the premium rate, whenever the surplus up-crosses the level b. The dividends are paid until the surplus down-crosses the level a, a

Date: 2008
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