Risk Theory with Affine Dividend Payment Strategies

  • Hansjörg Albrecher
  • Arian Cani


We consider a classical compound Poisson risk model with affine dividend payments. We illustrate how both by analytical and probabilistic techniques closed-form expressions for the expected discounted dividends until ruin and the Laplace transform of the time to ruin can be derived for exponentially distributed claim amounts. Moreover, numerical examples are given which compare the performance of the proposed strategy to classical barrier strategies and illustrate that such affine strategies can be a noteworthy compromise between profitability and safety in collective risk theory.



Financial support by the Swiss National Science Foundation Project 200020 143889 is gratefully acknowledged.


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© Springer International Publishing AG 2017

Authors and Affiliations

  1. 1.University of Lausanne and Swiss Finance InstituteQuartier UNIL-DorignyLausanneSwitzerland
  2. 2.University of LausanneQuartier UNIL-DorignyLausanneSwitzerland

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