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Dividends in finite time horizon

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  • Rui M.R. Cardoso

Abstract

In this paper, we consider the classical risk model modified in two different ways by the inclusion of a dividend barrier. For Model I, we present numerical algorithms, which can be used to approximate or bound the expected discounted value of dividends up to a finite time horizon, t, or ruin if this occurs earlier. We extend this by requiring the shareholders to provide the initial capital and to pay the deficit at ruin each time it occurs so that the process then continues after ruin up to time t. For Model I, we assume the full premium income is paid as dividends whenever the surplus exceeds a set level.In our Model II, we assume dividends are paid at a rate less than the rate of premium income. Copyright © 2012 John Wiley & Sons, Ltd.

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  • Rui M.R. Cardoso, 2014. "Dividends in finite time horizon," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 30(2), pages 172-182, March.
    • Handle: RePEc:wly:apsmbi:v:30:y:2014:i:2:p:172-182
    DOI: 10.1002/asmb.1958
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