Yin, Chuancun; Wen, Yuzhen - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 769-773
In this paper we consider a modified version of the classical optimal dividend problem taking into account both expected dividends and the time value of ruin. We assume that the risk process is modeled by a general spectrally positive Lévy process before dividends are deducted. Using the...