Abstract:

 The optimal dividend barrier of the dual risk model under a barrier dividend strategy is considered in this  paper. First the exact solution of the optimal dividend barrier  is presented by Laplace transform. When analytic results are unavailable, the discrete time dual risk model can be used to provide approximations for the optimal dividend barrier. For illustration, the approximate values of optimal dividends are numerically  compared  in two numerical examples.

Key words:  dual risk model; discrete  risk  model; optimal dividend barrier; Laplace transform; discrete approximation