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Optimal dividend strategies in a double compound poisson risk process |
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| Authors: | Shijun Li Ruixing Ming Longsheng Huang |
| Institution: | (1) Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, 1015 Lausanne, Switzerland;(2) Department of Statistics and Actuarial Science, University of Iowa, Iowa City, IA 52242-1409, USA |
| Abstract: | In this paper, we consider a double compound Poisson risk model involving two independent classes ofinsurance risks with a threshold dividend strategy. We derived the integro-differential equations (IDE) with certain boundary conditions for the present value of dividends until ruin. When the claims from both classes are exponentially distributed, we show that the threshold dividend strategy is an optimal dividend strategy. |
| Keywords: | double compound Poisson process the value function integro-differential equation threshold dividend strategy generalized Lundberg’s fundamental equation |
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