### Abstract

Original language | English |
---|---|

Journal | European Actuarial Journal |

DOIs | |

Publication status | E-pub ahead of print - 13 Jun 2019 |

### Fingerprint

### Keywords

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

### Fields of Expertise

- Information, Communication & Computing

### Cite this

**On a dividend problem with random funding.** / Strini, Josef Anton; Thonhauser, Stefan.

Research output: Contribution to journal › Article › Research › peer-review

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TY - JOUR

T1 - On a dividend problem with random funding

AU - Strini, Josef Anton

AU - Thonhauser, Stefan

PY - 2019/6/13

Y1 - 2019/6/13

N2 - 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.

AB - 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.

KW - Ruin theory

KW - Classical risk model

KW - Dividends

KW - Stochastic control

UR - https://link.springer.com/article/10.1007/s13385-019-00208-y

U2 - 10.1007/s13385-019-00208-y

DO - 10.1007/s13385-019-00208-y

M3 - Article

JO - European actuarial journal

JF - European actuarial journal

SN - 2190-9733

ER -