Dividends under threshold dividend strategy with randomized observation periods and capital-exchange agreement

Abstract

This paper considers the Cramér–Lundberg risk model for two companies with capital-exchange agreement, threshold dividend strategies and randomized observation periods. A integro-partial differential system of equations that characterizes the expected discounted dividend payments is obtained. As closed-form solutions do not exist, a numerical Sinc-Collocation method is proposed. Finally, an example illustrating the procedure is presented.