On optimality of the barrier strategy for the classical risk model with interest |
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Authors: | Ying Fang Rong Wu |
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Institution: | Ying Fang1,Rong Wu2 1Department of Mathematics,Shandong Normal University,Jinan 250014,China 2Department of Mathematics and LPMC,Nankai University,Tianjin 300071,China |
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Abstract: | In this paper, we consider the optimal dividend problem for a classical risk model with a constant force of interest. For
such a risk model, a sufficient condition under which a barrier strategy is the optimal strategy is presented for general
claim distributions. When claim sizes are exponentially distributed, it is shown that the optimal dividend policy is a barrier
strategy and the maximal dividend-value function is a concave function. Finally, some known results relating to the distribution
of aggregate dividends before ruin are extended. |
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Keywords: | Optimal dividend strategy barrier strategy confluent hypergeometric function interest |
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