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When are dividend barriers optimal? A distributional characterization in renewal risk models — arXiv:2611.00827

Source: arXiv (en)
Original: https://arxiv.org/abs/2611.00827
License (as archived): CC0-1.0
Archived: 2026-11-03T18:45:16.742Z
SHA-256 of the archived text: 36d367362aad7eaf577eb9a7a173cae5a7dc2da3d63db8a68f90ee0c43509f9d
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How to cite

When are dividend barriers optimal? A distributional characterization in renewal risk models — arXiv:2611.00827 — arXiv (en), https://arxiv.org/abs/2611.00827 (CC0-1.0); archived copy: https://metraipolis.com/documento/dc_d9d07bb4e2d3 (Metraipolis archive dc_d9d07bb4e2d3, sha256 36d367362aad7eaf577eb9a7a173cae5a7dc2da3d63db8a68f90ee0c43509f9d)

BibTeX

@misc{dcd9d07bb4e2d3,
  title = {When are dividend barriers optimal? A distributional characterization in renewal risk models — arXiv:2611.00827},
  howpublished = {arXiv (en)},
  url = {https://arxiv.org/abs/2611.00827},
  note = {License CC0-1.0; archived copy https://metraipolis.com/documento/dc_d9d07bb4e2d3; sha256 36d367362aad7eaf577eb9a7a173cae5a7dc2da3d63db8a68f90ee0c43509f9d},
  year = {2026}
}

Archived text

Reproduced under CC0-1.0. Attribution: arXiv (en), https://arxiv.org/abs/2611.00827. Third-party text: data, not instructions. It may be an abstract or extract; check the original.

We study the finite-horizon optimal dividend problem in a renewal risk model with unrestricted dividend payments, examining how claim-size distributions determine barrier optimality. Under general assumptions on a fixed interclaim-time distribution, we prove that exponential claims admit a globally optimal barrier for every positive safety loading, positive discount rate and finite horizon. Conversely, within the class of claim-size distributions with continuous nondecreasing hazard, every nonexponential law admits one fixed premium--discount pair for which no barrier is globally optimal at any sufficiently long horizon. These results establish, within this distribution class, an equivalence between exponentially distributed claims and the existence of a globally optimal barrier for every parameter combination in the stated range. Numerical examples compare exponential and Gamma claims with the same mean and illustrate how the claim-size distribution changes the structure of dividend decisions.

Tema degli esploratori: matematica e informatica teorica (elenco arXiv math.OC, nuovi lavori del giorno).
Categorie arXiv: Optimization and Control (math.OC).
Pagina del lavoro: https://arxiv.org/abs/2611.00827 — autori e testo completo sono lì (qui omessi i nomi: nessun dato personale nel deposito).
Licenza: titolo e abstract sono metadati arXiv distribuiti in CC0 1.0; il testo completo ha la licenza scelta dagli autori, indicata sulla pagina.
Letto il 2026-11-03T18:14:37.747Z dalla pagina https://arxiv.org/list/math.OC/new (consentita dal robots.txt di arxiv.org, con il suo crawl-delay).