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Optimality of the threshold dividend strategy for the compound Poisson model

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  • Yin, Chuancun
  • Yuen, Kam Chuen

Abstract

In this paper, we consider the optimal dividend problem for the compound Poisson risk model. We assume that dividends are paid to the shareholders according to an admissible strategy with dividend rate bounded by a constant. Our objective is to find a dividend policy so as to maximize the expected discounted value of dividends until ruin. We give sufficient conditions under which the optimal strategy is of threshold type.

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  • Yin, Chuancun & Yuen, Kam Chuen, 2011. "Optimality of the threshold dividend strategy for the compound Poisson model," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1841-1846.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:12:p:1841-1846
    DOI: 10.1016/j.spl.2011.07.022
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    References listed on IDEAS

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    Cited by:

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    3. Feng Ding & Jian Pan & Ahmed Alsaedi & Tasawar Hayat, 2019. "Gradient-Based Iterative Parameter Estimation Algorithms for Dynamical Systems from Observation Data," Mathematics, MDPI, vol. 7(5), pages 1-15, May.

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