Optimal Dividend Strategy Under Parisian Ruin with Affine Penalty

Xu, Ruijun; Wang, Wenyuan; Garrido, José

doi:10.1007/s11009-021-09865-7

Cited by 2 publications

(1 citation statement)

References 31 publications

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“…In particular, Dassios and Wu [14] first introduced Parisian implementation delays in insurance risk models, if the surplus remains negative for a period of time, then Parisian ruin occurs, and they obtained the Laplace transform of the Parisian ruin time under the diffusion-perturbed classical model with exponentially distributed jumps. For more information on Parisian ruin, we refer to Czarna and Renaud [13], Yang et al [29], Loeffen et al [20], Wang and Zhou [25], Xu et al [28] and so on. The Parisian implementation delays dividend has also attracted a lot of interests recently.…”

Section: Introductionmentioning

confidence: 99%

On the dual risk model with Parisian implementation delays under a mixed dividend strategy

Li²,

Zhou³

2023

Prob. Eng. Inf. Sci.

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In this paper, we consider a mixed dividend strategy in a dual risk model. The mixed dividend strategy is the combination of a threshold dividend and a Parisian implementation delays dividend under periodic observation. Given a series of discrete observation points, when the surplus level is larger than the predetermined bonus barrier at observation point, the Parisian implementation delays dividend is immediately carried out, and the threshold dividend is performed continuously during the delayed period. We study the Gerber-Shiu expected discounted penalty function and the expected discounted dividend payments before ruin in such a dual risk model. Numerical illustrations are given to study the influence of relevant parameters on the ruin-related quantities and the selection of the optimal dividend barrier for a given initial surplus level.

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