Projects per year
Abstract
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 language  English 

Pages (fromto)  607633 
Number of pages  27 
Journal  European Actuarial Journal 
Volume  9 
Issue number  2 
Early online date  13 Jun 2019 
DOIs  
Publication status  Published  Dec 2019 
Keywords
 Ruin theory
 Classical risk model
 Dividends
 Stochastic control
Fields of Expertise
 Information, Communication & Computing
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Projects
 1 Finished

FWF  DioPro  Diophantine Problems: Analytic, geometric and computational aspects
1/10/13 → 30/09/18
Project: Research project