TITLE:
Optimal Dividend Problem for a Compound Poisson Risk Model
AUTHORS:
Ying Shen, Chuancun Yin
KEYWORDS:
Barrier Strategy, Optimal Dividend Strategy, Generalized Compound Poisson Risk Model, Stochastic Control
JOURNAL NAME:
Applied Mathematics,
Vol.5 No.10,
June
3,
2014
ABSTRACT: In this note we
study the optimal dividend problem for a company whose surplus process, in the
absence of dividend payments, evolves as a generalized compound Poisson model
in which the counting process is a generalized Poisson process. This model
includes the classical risk model and the Pólya-Aeppli risk model as special
cases. The objective is to find a dividend policy so as to maximize the
expected discounted value of dividends which are paid to the shareholders until
the company is ruined. We show that under some conditions the optimal dividend
strategy is formed by a barrier strategy. Moreover, two conjectures are
proposed.