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Dividend-Reinsurance Strategy in the Sparre Andersen Model

In this paper, we introduce a reinsurance strategy into the Sparre Andersen risk model with a horizon dividend barrier, which is named dividend-reinsurance strategy. It is shown that the value function of the new strategy far exceeds that of the optimal barrier strategy (even that of the optimal div...

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Bibliographic Details
Published in:Acta mathematica Sinica. English series 2013-02, Vol.29 (2), p.405-416
Main Authors: Tan, Ji Yang, Xiao, Lin, Liu, Shao Yue, Yang, Xiang Qun
Format: Article
Language:English
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Summary:In this paper, we introduce a reinsurance strategy into the Sparre Andersen risk model with a horizon dividend barrier, which is named dividend-reinsurance strategy. It is shown that the value function of the new strategy far exceeds that of the optimal barrier strategy (even that of the optimal dividend strategy). Some results on the advantages of the new strategy are obtained, and the methods for computing the value functions are provided. Numerical illustrations for Erlang (2) and compound Poisson risk models are also given.
ISSN:1439-8516
1439-7617
DOI:10.1007/s10114-012-0353-3