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

DOI10.1016/J.INSMATHECO.2015.09.010zbMATH Open1348.91146arXiv1410.3793OpenAlexW596654820MaRDI QIDQ896757FDOQ896757

Authors: Camilo Hernández, Mauricio Junca 

Publication date: 14 December 2015

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

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.

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

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zbMATH Keywords

optimal controlbarrier strategydual problemdividend paymentsexpected time of ruin constraint

Mathematics Subject Classification ID

Cites Work

• Ruin probabilities
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Cited In (10)

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

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