Abstract

Journal of Actuarial Practice

Volume 12, 2005

Optimal Dividend Strategies: Some Economic Interpretations for the Constant Barrier Case

Maite Mármol, M.Mercč Claramunt, and Antonio Alegre

Abstract

We consider the surplus process of a non-life insurance portfolio with a dividend component represented by a constant dividend barrier strategy. The optimal dividend barrier is known when individual claim amounts follow an exponential distribution. This result for the optimal dividend barrier is used to develop combinations of the levels of the insurer's initial surplus and of the barrier which, under certain economic and financial criteria, can be regarded as optimal.

Key words and phrases: optimal dividend strategy, constant barrier, surplus process with dividends, solvency

Corresponding Author:

Maite Mármol

Department of Economical

Financial and Actuarial Mathematics

University of Barcelona

Avda.\ Diagonal

690. 08034 Barcelona

SPAIN

E-mail: mmarmol@ub.edu

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