Optimal dividend payments under a time of ruin constraint: exponential claims

DOI10.1016/J.INSMATHECO.2015.09.010MaRDI QIDQ896757zbMATHOpenAlexFDO

Authors Camilo Hernández, Mauricio Junca

Publication date 14 December 2015

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.3793

zbMATH Keywords

optimal controlbarrier strategydual problemdividend paymentsexpected time of ruin constraint

Mathematics Subject Classification ID

Abstract: We consider the classical optimal dividends problem under the Cram'er-Lundberg model with exponential claim sizes subject to a constraint on the time of ruin. We introduce the dual problem and show that the complementary slackness conditions are satisfied, thus there is no duality gap. Therefore the optimal value function can be obtained as the point-wise infimum of auxiliary value functions indexed by Lagrange multipliers. We also present a series of numerical examples.

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Cites work

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Cited in

(10)

• Dividend maximization under a set ruin probability target in the presence of proportional and excess-of-loss reinsurance
• Maximizing the expected time to ruin for a company operating N distinct funds with a 'superclaims' process
• Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
• A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
• Dividend maximization under consideration of the time value of ruin
• Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
• A dividend optimization problem with constraint of survival probability in a Markovian environment model
• Optimality of refraction strategies for a constrained dividend problem
• Time-inconsistent view on a dividend problem with penalty
• Optimal dividend payout for classical risk model with risk constraint

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