On optimality of the barrier strategy for the classical risk model with interest (Q628629)

This paper considers the ``optimal dividend problem'' of an insurance company, which receives premiums at a constant rate and has to pay out claims according to a compound Poisson process. This means that dividends are chosen so as to maximize their expected value before ruin occurs. The authors tackle this problem by first determining the optimizer in the class of ``barrier strategies'', which pay out all holdings above a certain threshold level. Then, they present a verification theorem which allows them to establish that the proposed candidate is indeed optimal in general if claim sizes are exponentially distributed. This extends previous results obtained under more restrictive model assumptions.