Abstract
Assume that the surplus process of an insurance company is described by a general Lévy process and that possible dividend pay-outs to shareholders are restricted to random discrete times which are determined by an independent renewal process. Under this setting we show that the optimal dividend pay-out policy is a band-policy. If the renewal process is a Poisson process, it is further shown that for Cramér-Lundberg risk processes with exponential claim sizes and its diffusion limit the optimal policy collapses to a barrier-policy. Finally, a numerical example is given for which the optimal bands can be calculated explicitly. The random observation procedure studied in this paper also allows for an interpretation in terms of a random walk model with a certain type of random discounting.
Originalsprache | englisch |
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Seiten (von - bis) | 251-276 |
Seitenumfang | 26 |
Fachzeitschrift | Statistics & Risk Modeling |
Jahrgang | 28 |
Ausgabenummer | 3 |
DOIs | |
Publikationsstatus | Veröffentlicht - 1 Jan. 2011 |
Extern publiziert | Ja |
ASJC Scopus subject areas
- Statistik und Wahrscheinlichkeit
- Modellierung und Simulation
- Statistik, Wahrscheinlichkeit und Ungewissheit
Fields of Expertise
- Information, Communication & Computing