The Dividend Payments for General Claim Size Distributions under Interest Rate

This paper evaluates the dividend payments for general claim size distributions in the presence of a dividend barrier. The surplus of a company is modeled using the classical risk process perturbed by diffusion, and in addition, it is assumed to accrue interest at a constant rate. After presenting the integro-differential equation with initial conditions that dividend payments satisfies, the paper derives a useful expression of the dividend payments by employing the theory of Volterra equation. Furthermore, the optimal value of dividend barrier is found. Finally, numerical examples illustrate the optimality of optimal dividend barrier and the effects of parameters on dividend payments.

Authors:

• Li-Li Li
• Jinghai Feng
• Lixin Song

Keywords:

• Dividend payout
• Integro-differential equation
• Jumpdiffusion model
• Volterra equation

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