Optimal dividend strategies in a renewal risk model with phase-type distributed interclaim times

DOI10.1007/S00245-022-09853-4zbMATH Open1484.91409arXiv2004.08132OpenAlexW4214744296MaRDI QIDQ2115138FDOQ2115138

Linlin Tian, Zhaoyang Liu

Publication date: 15 March 2022

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Abstract: In this paper, we consider the optimal dividend problem of the renewal risk model with phase-type distributed interclaim times and exponentially distributed claim sizes. Assume that the phases of the interclaim times can be observed. We study the optimal dividend under the 2--order and the $n$--order ($nge3$)separately. In the case of 2--order phase-type distributed interclaim times, we show that the optimal dividend policy is the optimal phase-wise barrier strategy. As a byproduct, we find that in this case, the phase with higher barrier is the phase with the higher intensity to the next claim. In the case of n-order ($nge3$) phase-type distributed interclaim times, an iteration algorithm is presented to show that the optimal phase-wise barrier strategy is optimal among all dividend policies. We also find a similar conclusion like in the case of 2--order, the phase with the highest barrier is the phase with the highest intensity to the next claim.

Full work available at URL: https://arxiv.org/abs/2004.08132

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zbMATH Keywords

phase-type distributionHamilton-Jacobi-Bellman equationoptimal dividend

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cited In (1)

• General bounds for the deficit distribution at ruin in the sparre Andersen model

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