A note on the dividends-penalty identity and the optimal dividend barrier

被引:70
作者
Gerber, Hans U. [1 ]
Lin, X. Sheldon
Yang, Hailiang
机构
[1] Univ Lausanne, Ecole Hautes Etud Commerciales, CH-1015 Lausanne, Switzerland
[2] Univ Toronto, Dept Stat, Toronto, ON M5S 3G3, Canada
[3] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
关键词
general class of risk models; dividends-penalty identity; penalty at ruin; optimal dividend barrier; Brownian motion; compound Poisson process;
D O I
10.2143/AST.36.2.2017931
中图分类号
F [经济];
学科分类号
02 ;
摘要
For a general class of risk models, the dividends-penalty identity is derived by probabilistic reasoning. This identity is the key for understanding and determining the optimal dividend barrier, which maximizes the difference between the expected present value of all dividends until ruin and the expected discounted value of a penalty at ruin (which is typically a function of the deficit at ruin). As an illustration, the optimal barrier is calculated in two classical models, for different penalty functions and a variety of parameter values.
引用
收藏
页码:489 / 503
页数:15
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