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On a double barrier hybrid dividend strategy in a compound Poisson risk model with stochastic income

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  • A. S. Dibu

    (National Institute of Technology Calicut)

  • M. J. Jacob

    (National Institute of Technology Calicut)

Abstract

The paper features a hybrid dividend payment strategy on an insurance surplus with stochastic income. The hybrid dividend strategy works as follows: A delay-clock starts whenever the surplus up-shoots, due to a premium arrival, to a level between barriers ‘k’ and ‘ $$ \ell $$ ℓ ’, such that $$ 0 \leqslant u \leqslant k \leqslant \ell

Suggested Citation

  • A. S. Dibu & M. J. Jacob, 2022. "On a double barrier hybrid dividend strategy in a compound Poisson risk model with stochastic income," Annals of Operations Research, Springer, vol. 315(2), pages 969-984, August.
    • Handle: RePEc:spr:annopr:v:315:y:2022:i:2:d:10.1007_s10479-021-03937-0
    DOI: 10.1007/s10479-021-03937-0
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    References listed on IDEAS

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    1. Beekman, John A., 1985. "A series for infinite time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 4(2), pages 129-134, April.
    2. Albrecher, Hansjörg & Cheung, Eric C.K. & Thonhauser, Stefan, 2011. "Randomized Observation Periods for the Compound Poisson Risk Model: Dividends," ASTIN Bulletin, Cambridge University Press, vol. 41(2), pages 645-672, November.
    3. Hans Gerber & Elias Shiu, 1998. "On the Time Value of Ruin," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 48-72.
    4. Sendova, Kristina P. & Yang, Chen & Zhang, Ruixi, 2018. "Dividend barrier strategy: Proceed with caution," Statistics & Probability Letters, Elsevier, vol. 137(C), pages 157-164.
    5. Sheldon Lin, X. & E. Willmot, Gordon & Drekic, Steve, 2003. "The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 551-566, December.
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    Cited by:

    1. He, Yue & Kawai, Reiichiro & Shimizu, Yasutaka & Yamazaki, Kazutoshi, 2023. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 1-28.

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