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A Lévy risk model with ratcheting and barrier dividend strategies.

  • Published In: Mathematical Foundations of Computing, 2023, v. 6, n. 2. P. 1 1 of 3

  • Database: Academic Search Ultimate 2 of 3

  • Authored By: Gao, Hui; Yin, Chuancun 3 of 3

Abstract

The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this paper, we consider the two-layer $ (a, b) $ dividend strategy when the risk process is modeled by a spectrally negative Lévy process, such a strategy has an increasing dividend rate when the surplus exceeds level $ a>0 $, and all of the excess over $ b>a $ as lump sum dividend payments. Using fluctuation identities and scale functions, we obtain explicit formulas for the expected net present value of dividends until ruin and the Laplace transform of the time to ruin. Finally, numerical illustrations are present to show the impacts of parameters on the expected net present value. [ABSTRACT FROM AUTHOR]

Additional Information

  • Source:Mathematical Foundations of Computing. 2023/05, Vol. 6, Issue 2, p1
  • Document Type:Article
  • Subject Area:Business and Management
  • Publication Date:2023
  • ISSN:2577-8838
  • DOI:10.3934/mfc.2022025
  • Accession Number:163256966
  • Copyright Statement:Copyright of Mathematical Foundations of Computing is the property of American Institute of Mathematical Sciences and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

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