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On Risk Model with Dividends Payments Perturbed by a Brownian Motion – An Algorithmic Approach

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  • Frostig, Esther

Abstract

Assume that an insurance company pays dividends to its shareholders whenever the surplus process is above a given threshold. In this paper we study the expected amount of dividends paid, and the expected time to ruin in the compound Poisson risk process perturbed by a Brownian motion. Two models are considered: In the first one the insurance company pays whatever amount exceeds a given level b as dividends to its shareholders. In the second model, the company starts to pay dividends at a given rate, smaller than the premium rate, whenever the surplus up-crosses the level b. The dividends are paid until the surplus down-crosses the level a, a

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  • Frostig, Esther, 2008. "On Risk Model with Dividends Payments Perturbed by a Brownian Motion – An Algorithmic Approach," ASTIN Bulletin, Cambridge University Press, vol. 38(1), pages 183-206, May.
    • Handle: RePEc:cup:astinb:v:38:y:2008:i:01:p:183-206_01
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    Cited by:

    1. Chi, Yichun & Lin, X. Sheldon, 2011. "On the threshold dividend strategy for a generalized jump-diffusion risk model," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 326-337, May.

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