Optimal dividend policies for piecewise-deterministic compound Poisson risk models

Runhuan Feng, Hans W. Volkmer, Shuaiqi Zhang, Chao Zhu

Research output: Contribution to journalArticlepeer-review


This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study in this general framework of both restricted and unrestricted payment schemes, which were only previously treated separately in certain special cases of risk models in the literature. In the case of restricted payment scheme, the value function is shown to be a classical solution of the corresponding HJB equation, which in turn leads to an optimal restricted payment policy known as the threshold strategy. In the case of unrestricted payment scheme, by solving the associated integro-differential quasi-variational inequality, we obtain the value function as well as an optimal unrestricted dividend payment scheme known as the barrier strategy. When claim sizes are exponentially distributed, we provide easily verifiable conditions under which the threshold and barrier strategies are optimal restricted and unrestricted dividend payment policies, respectively. The main results are illustrated with several examples, including a new example concerning regressive growth rates.

Original languageEnglish (US)
Pages (from-to)423-454
Number of pages32
JournalScandinavian Actuarial Journal
Issue number5
StatePublished - Jul 4 2015


  • HJB equation
  • barrier strategy
  • piecewise-deterministic compound Poisson model
  • quasi-variational inequality
  • threshold strategy

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


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