We study the dividend optimization problem for a company where surplus in the absence of dividend payments follows a Cramér–Lundberg process compounded by constant force of interest. The company controls the times and amounts of dividend payments subject to reserve constraints that dividends...

In this paper, we construct a new insurance risk model based on the entrance process and consider the asymptotic behavior of the risk process under the ultimate stability condition on the intensity of the entrance process. We find when the claim size has finite second moment the risk process is...

In this paper, we study a Markov regime-switching risk model where dividends are paid out according to a certain threshold strategy depending on the underlying Markovian environment process. We are interested in these quantities: ruin probabilities, deficit at ruin and expected ruin time. To...