Stefan Thonhauser

TL;DR: In this paper, a modification of the horizontal dividend barrier strategy by introducing random observation times at which dividends can be paid and ruin can be observed was studied, and the effect of these observation times on the performance of the dividend strategy was studied.

TL;DR: In this article, the authors considered a compound Poisson risk model for the surplus process where the process and hence ruin can only be observed at random observation times, and derived explicit expressions for the discounted penalty function at ruin.

TL;DR: In this paper, the authors introduce a value function which considers both expected dividends and the time value of ruin, and for both the diffusion model and the Cramer-Lundberg model with exponential claim sizes, the problem is solved and in either case the optimal strategy is identified, which for unbounded dividend intensity is a barrier strategy and for bounded dividends intensity is of threshold type.

TL;DR: In this paper, the authors show that the optimal policy for a general Levy process with a Poisson renewal process is a band-policy, and for Cramer-Lundberg risk processes with exponential claim sizes and its diffusion limit, the policy collapses to a barrier-policy.