(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.