On a dividend problem with random funding

Josef Anton Strini, Stefan Thonhauser

Research output: Contribution to journalArticlepeer-review


We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding (subject to some proportional transaction costs). For modelling dividends we use the common approach whereas for the funding opportunity we use the jump times of another independent Poisson process at which we choose an appropriate funding height. In case of exponentially distributed claims we are able to determine an explicit solution to the problem and derive an optimal strategy whose nature heavily depends on the size of the transaction costs. Furthermore, the optimal strategy identifies unfavourable surplus positions prior to ruin at which refunding is highly recommended.
Original languageEnglish
Pages (from-to)607-633
Number of pages27
JournalEuropean Actuarial Journal
Issue number2
Early online date13 Jun 2019
Publication statusPublished - Dec 2019


  • Ruin theory
  • Classical risk model
  • Dividends
  • Stochastic control

Fields of Expertise

  • Information, Communication & Computing


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