Dividend barrier strategies in a renewal risk model with generalized erlang interarrival times

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Título: Dividend barrier strategies in a renewal risk model with generalized erlang interarrival times / Yuliya Mishura, Hanspeter Schmidli
Autor: Mishura, Yuliya
Notas: Sumario: We consider a renewal risk model with generalized Erlang distributed interarrival times. We assume that the phases of the interarrival time can be observed. In order to solve de Finettis dividend problem, we first consider phasewise barrier strategies and look for the optimal barriers when the initial capital is 0. For exponentially distributed claim sizes, we show that the barrier strategy is optimal among all admissible strategies. For the special case of Erlang(2) interarrival times, we calculate the value function and the optimal barriers.
Registros relacionados: En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 03/12/2012 Tomo 16 Número 4 - 2012
Otras clasificaciones: 1
Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/
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