Dividend-reinsurance strategy in the Sparre Andersen model

Autor:	Lin Xiao, Shao Yue Liu, Xiang Qun Yang, Ji Yang Tan
Rok vydání:	2012
Předmět:	Reinsurance Risk model symbols.namesake Applied Mathematics General Mathematics Bellman equation symbols Dividend Poisson distribution Mathematical economics Erlang (unit) Mathematics
Zdroj:	Acta Mathematica Sinica, English Series. 29:405-416
ISSN:	1439-7617 1439-8516
DOI:	10.1007/s10114-012-0353-3
Popis:	In this paper, we introduce a reinsurance strategy into the Sparre Andersen risk model with a horizon dividend barrier, which is named dividend-reinsurance strategy. It is shown that the value function of the new strategy far exceeds that of the optimal barrier strategy (even that of the optimal dividend strategy). Some results on the advantages of the new strategy are obtained, and the methods for computing the value functions are provided. Numerical illustrations for Erlang (2) and compound Poisson risk models are also given.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::d6ed6fda0dfb67fc1a1d12aeb9b8003a https://doi.org/10.1007/s10114-012-0353-3 Zobrazit plný text záznamu Full text from SpringerLink