Finite-time expected present value of operating costs until ruin in Lévy risk models with varying dividend barriers

Jiayi Xie and Zhimin Zhang

Communications in Statistics - Theory and Methods, 2025, vol. 54, issue 24, 7918-7938

Abstract: This article explores the application of Lévy risk models in actuarial science, focusing on optimal dividend strategies and ruin problems. We investigate the expected present value of total operating costs until ruin for insurance companies, a concept crucial for analyzing risk management strategies within these firms. Utilizing the COS method, we examine this function under various dividend strategies, including constant barrier dividends, linear and non linear strategies, and strategies related to the maximum process. Our analysis is conducted within the framework of discrete observation points for the surplus process of insurance companies, providing a comprehensive understanding of ruin-related issues under different dividend schemes. The numerical experiments presented in this article demonstrate the effectiveness of our approach.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2025.2485343 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:54:y:2025:i:24:p:7918-7938

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2025.2485343

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().