IDEAS home Printed from https://ideas.repec.org/a/taf/lstaxx/v54y2025i24p7918-7938.html
   My bibliography  Save this article

Finite-time expected present value of operating costs until ruin in Lévy risk models with varying dividend barriers

Author

Listed:
  • Jiayi Xie
  • Zhimin Zhang

Abstract

This article explores the application of Lévy risk models in actuarial science, focusing on optimal dividend strategies and ruin problems. We investigate the expected present value of total operating costs until ruin for insurance companies, a concept crucial for analyzing risk management strategies within these firms. Utilizing the COS method, we examine this function under various dividend strategies, including constant barrier dividends, linear and non linear strategies, and strategies related to the maximum process. Our analysis is conducted within the framework of discrete observation points for the surplus process of insurance companies, providing a comprehensive understanding of ruin-related issues under different dividend schemes. The numerical experiments presented in this article demonstrate the effectiveness of our approach.

Suggested Citation

  • Jiayi Xie & Zhimin Zhang, 2025. "Finite-time expected present value of operating costs until ruin in Lévy risk models with varying dividend barriers," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 54(24), pages 7918-7938, December.
    • Handle: RePEc:taf:lstaxx:v:54:y:2025:i:24:p:7918-7938
    DOI: 10.1080/03610926.2025.2485343
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03610926.2025.2485343
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03610926.2025.2485343?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:lstaxx:v:54:y:2025:i:24:p:7918-7938. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/lsta .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.