Optimal dividend payment under a ruin constraint is a two objective control problem which-in simple models-can be solved numerically by three essentially different methods. One is based on a modified Bellman equation and the policy improvement method (see Hipp (2003)). In this paper we use...

In this note we study the problem of company values with a ruin constraint in classical continuous time Lundberg models. For this, we adapt the methods and results for discrete de Finetti models to time and state continuous Lundberg models. The policy improvement method works also in continuous...

We consider optimal dividend payment under the constraint that the with-dividend ruin probability does not exceed a given value α. This is done in most simple discrete De Finetti models. We characterize the value function V(s,α) for initial surplus s of this problem, characterize the...

In this paper we analyse, in a contingent-claims framework, one of the most common life insurance policies sold in Italy during the last two decades. The policy, of the endowment type, is initially priced as a standard one, given a mortality table and a technical interest rate...