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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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Published in: | Acta mathematica Sinica. English series 2013-02, Vol.29 (2), p.405-416 |
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Main Authors: | , , , |
Format: | Article |
Language: | English |
Subjects: | |
Citations: | Items that this one cites |
Online Access: | Get full text |
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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. |
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ISSN: | 1439-8516 1439-7617 |
DOI: | 10.1007/s10114-012-0353-3 |