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A Risk Model with Multilayer Dividend Strategy

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  • Hansjörg Albrecher
  • Jürgen Hartinger

Abstract

In recent years various dividend payment strategies for the classical collective risk model have been studied in great detail. In this paper we consider both the dividend payment intensity and the premium intensity to be step functions depending on the current surplus level. Algorithmic schemes for the determination of explicit expressions for the Gerber-Shiu discounted penalty function and the expected discounted dividend payments are derived. This enables the analytical investigation of dividend payment strategies that, in addition to having a sufficiently large expected value of discounted dividend payments, also take the solvency of the portfolio into account. Since the number of layers is arbitrary, it also can be viewed as an approximation to a continuous surplus-dependent dividend payment strategy. A recursive approach with respect to the number of layers is developed that to a certain extent allows one to improve upon computational disadvantages of related calculation techniques that have been proposed for specific cases of this model in the literature. The tractability of the approach is illustrated numerically for a risk model with four layers and an exponential claim size distribution.

Suggested Citation

  • Hansjörg Albrecher & Jürgen Hartinger, 2007. "A Risk Model with Multilayer Dividend Strategy," North American Actuarial Journal, Taylor & Francis Journals, vol. 11(2), pages 43-64.
    • Handle: RePEc:taf:uaajxx:v:11:y:2007:i:2:p:43-64
    DOI: 10.1080/10920277.2007.10597447
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    Citations

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    Cited by:

    1. Lin, X. Sheldon & Sendova, Kristina P., 2008. "The compound Poisson risk model with multiple thresholds," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 617-627, April.
    2. Jin, Can & Li, Shuanming & Wu, Xueyuan, 2016. "On the occupation times in a delayed Sparre Andersen risk model with exponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 304-316.
    3. Lu, Yi & Li, Shuanming, 2009. "The Markovian regime-switching risk model with a threshold dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 296-303, April.
    4. Landriault, David & Lemieux, Christiane & Willmot, Gordon E., 2012. "An adaptive premium policy with a Bayesian motivation in the classical risk model," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 370-378.
    5. Yue He & Reiichiro Kawai & Yasutaka Shimizu & Kazutoshi Yamazaki, 2022. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Papers 2203.10680, arXiv.org, revised Dec 2022.
    6. He, Yue & Kawai, Reiichiro & Shimizu, Yasutaka & Yamazaki, Kazutoshi, 2023. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 1-28.
    7. Olena Ragulina & Jonas Šiaulys, 2020. "Upper Bounds and Explicit Formulas for the Ruin Probability in the Risk Model with Stochastic Premiums and a Multi-Layer Dividend Strategy," Mathematics, MDPI, vol. 8(11), pages 1-35, October.
    8. Yang, Hu & Zhang, Zhimin & Lan, Chunmei, 2008. "On the time value of absolute ruin for a multi-layer compound Poisson model under interest force," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1835-1845, September.
    9. Zhou, Zhongbao & Xiao, Helu & Deng, Yingchun, 2015. "Markov-dependent risk model with multi-layer dividend strategy," Applied Mathematics and Computation, Elsevier, vol. 252(C), pages 273-286.
    10. Benjamin Avanzi & Jos'e-Luis P'erez & Bernard Wong & Kazutoshi Yamazaki, 2016. "On optimal joint reflective and refractive dividend strategies in spectrally positive L\'evy models," Papers 1607.01902, arXiv.org, revised Nov 2016.
    11. Benjamin Avanzi & Vincent Tu & Bernard Wong, 2016. "A Note on Realistic Dividends in Actuarial Surplus Models," Risks, MDPI, vol. 4(4), pages 1-9, October.

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