scholarly journals Dividend Payments with a Hybrid Strategy in the Compound Poisson Risk Model

2014 ◽  
Vol 05 (13) ◽  
pp. 1933-1949 ◽  
Author(s):  
Peng Li ◽  
Chuancun Yin ◽  
Ming Zhou
Keyword(s):  
Risk Model ◽  
Hybrid Strategy ◽  
Compound Poisson ◽  
Compound Poisson Risk Model ◽  
Dividend Payments ◽  
Poisson Risk Model

scholarly journals Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend

2021 ◽  
Vol 2021 (1) ◽  
Author(s):  
Wenguang Yu ◽  
Peng Guo ◽  
Qi Wang ◽  
Guofeng Guan ◽  
Yujuan Huang ◽  
...  
Keyword(s):  
Risk Model ◽  
Compound Poisson ◽  
Compound Poisson Risk Model ◽  
Capital Injection ◽  
Surplus Process ◽  
Dividend Payments ◽  
Injection Line ◽  
Observation Times ◽  
Poisson Risk Model ◽  
Explicit Expressions

AbstractIn this paper, we model the insurance company’s surplus by a compound Poisson risk model, where the surplus process can only be observed at random observation times. It is assumed that the insurer observes its surplus level periodically to decide on dividend payments and capital injection at the interobservation time having an $\operatorname{Erlang}(n)$ Erlang ( n ) distribution. If the observed surplus level is greater than zero but less than injection line $b_{1} > 0$ b 1 > 0 , the shareholders should immediately inject a certain amount of capital to bring the surplus level back to the injection line $b_{1}$ b 1 . If the observed surplus level is larger than dividend line $b_{2}$ b 2 ($b_{2} > b_{1}$ b 2 > b 1 ), any excess of the surplus over $b_{2}$ b 2 is immediately paid out as dividends to the shareholders of the company. Ruin is declared when the observed surplus level is negative. We derive the explicit expressions of the Gerber–Shiu function, the expected discounted capital injection, and the expected discounted dividend payments. Numerical illustrations are also given to analyze the effect of random observation times on actuarial quantities.

scholarly journals Dynamic Proportional Reinsurance and Approximations for Ruin Probabilities in the Two-Dimensional Compound Poisson Risk Model

2012 ◽  
Vol 2012 ◽  
pp. 1-26 ◽  
Author(s):  
Yan Li ◽  
Guoxin Liu
Keyword(s):  
Ruin Probability ◽  
Risk Model ◽  
Optimal Strategies ◽  
Proportional Reinsurance ◽  
Two Dimensional ◽  
Compound Poisson ◽  
Compound Poisson Risk Model ◽  
Optimal Value ◽  
Hamilton Jacobi Bellman ◽  
Poisson Risk Model

We consider the dynamic proportional reinsurance in a two-dimensional compound Poisson risk model. The optimization in the sense of minimizing the ruin probability which is defined by the sum of subportfolio is being ruined. Via the Hamilton-Jacobi-Bellman approach we find a candidate for the optimal value function and prove the verification theorem. In addition, we obtain the Lundberg bounds and the Cramér-Lundberg approximation for the ruin probability and show that as the capital tends to infinity, the optimal strategies converge to the asymptotically optimal constant strategies. The asymptotic value can be found by maximizing the adjustment coefficient.

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