Dividends in finite time horizon

Research output: Contribution to journalArticlepeer-review


In this paper, we consider the classical risk model modified in two different ways by the inclusion of a dividend barrier. For Model I, we present numerical algorithms, which can be used to approximate or bound the expected discounted value of dividends up to a finite time horizon, t, or ruin if this occurs earlier. We extend this by requiring the shareholders to provide the initial capital and to pay the deficit at ruin each time it occurs so that the process then continues after ruin up to time t. For Model I, we assume the full premium income is paid as dividends whenever the surplus exceeds a set level.In our Model II, we assume dividends are paid at a rate less than the rate of premium income.

Original languageEnglish
Pages (from-to)172-182
Number of pages11
JournalApplied Stochastic Models in Business and Industry
Issue number2
Publication statusPublished - Mar 2014


  • dividend payments
  • finite time
  • Markov chains
  • numerical algorithms
  • surplus process


Dive into the research topics of 'Dividends in finite time horizon'. Together they form a unique fingerprint.

Cite this