Universität zu Köln

Vierkoetter, Matthias and Schmidli, Hanspeter ORCID: 0000-0001-6404-078X (2017). On optimal dividends with exponential and linear penalty payments. Insur. Math. Econ., 72. S. 265 - 271. AMSTERDAM: ELSEVIER SCIENCE BV. ISSN 1873-5959

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Abstract

We study the optimal dividend problem where the surplus process of an insurance company is modelled by a diffusion process. The insurer is not ruined when the surplus becomes negative, but penalty payments occur, depending on the level of the surplus. The penalty payments shall avoid that losses can rise above any number and can be seen as a preference measure or costs for negative capital. As examples, exponential and linear penalty payments are considered. It turns out that a barrier dividend strategy is optimal. (C) 2016 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Vierkoetter, Matthias UNSPECIFIED UNSPECIFIED UNSPECIFIED Schmidli, Hanspeter UNSPECIFIED orcid.org/0000-0001-6404-078X UNSPECIFIED
URN:	urn:nbn:de:hbz:38-247568
DOI:	10.1016/j.insmatheco.2016.12.001
Journal or Publication Title:	Insur. Math. Econ.
Volume:	72
Page Range:	S. 265 - 271
Date:	2017
Publisher:	ELSEVIER SCIENCE BV
Place of Publication:	AMSTERDAM
ISSN:	1873-5959
Language:	English
Faculty:	Faculty of Mathematics and Natural Sciences
Divisions:	Faculty of Mathematics and Natural Sciences > Department of Mathematics and Computer Science > Mathematical Institute
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language RANDOMIZED OBSERVATION PERIODS; POISSON RISK MODEL; RUIN; INVESTMENT; STRATEGIES Multiple languages Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/24756