On the non-optimality of horizontal barrier strategies in the Sparre Andersen model

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Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_E47A8D9DB211
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
On the non-optimality of horizontal barrier strategies in the Sparre Andersen model
Périodique
Hermis J. Comp. Math. Appl.
Auteur⸱e⸱s
Albrecher H., Hartinger J.
Statut éditorial
Publié
Date de publication
2006
Peer-reviewed
Oui
Volume
7
Pages
109-122
Langue
anglais
Résumé
In the collective risk theory literature, horizontal dividend barrier strategies are frequently used to account for a profit participation of shareholders in the insurance business. This is mainly motivated by some optimality results of this strategy available in the classical compound Poisson model and in the diffusion setting. In this paper, we show that the optimality of horizontal barrier strategies does not carry over to Sparre Andersen models in general, by explicitly constructing a counter-example. As a by-product, a heuristic upper bound for the optimal dividend payout in the Erlang(n)-model is derived.

Mots-clé
Collective risk theory, Sparre Andersen model, Dividend payments, Barrier strategies
Création de la notice
09/02/2009 20:23
Dernière modification de la notice
20/08/2019 17:08
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