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In this paper, we investigate the problem of optimal strategies of dividend and reinsurance under the Cram\'{e}r-Lundberg risk model embedded with the thinning-dependence structure which was firstly introduced by Wang and Yuen (2005), subject to the optimality criteria of maximizing the expected accumulated discounted dividends paid until ruin. To enhance the practical relevance of the optimal dividend and reinsurance problem, non-cheap reinsurance is considered and transaction costs and taxes are imposed on dividends, which converts our optimization problem into a mixed classical-impulse control problem. For the purpose of better mathematical tractability and neat, explicit solutions of our control problem, instead of the Cram\'er-Lundberg framework we study its approximated diffusion model with two thinly dependent classes of insurance businesses. Using a method of quasi-variational inequalities, we show that the optimal reinsurance follows a two-dimensional excess-of-loss reinsurance strategy, and, the optimal dividend strategy turns out to be an impulse dividend strategy with an upper and a lower barrier, i.e., every thing above the lower barrier is paid as dividends each time the surplus is above the upper barrier, otherwise no dividends are paid. Closed-form expression for the value function associated with the optimal dividend and reinsurance strategy is also given. In addition, some numerical examples are presented to illustrate the optimality results.

Multivariate functional data has received considerable attention but testing for equality of mean surfaces and its profile has limited progress. The existing literature has tested equality of either mean curves of univariate functional samples directly, or mean surfaces of bivariate functional data samples but turn into functional curves comparison again. In this paper, we aim to develop both the profile and globe tests of mean surfaces for two-sample bivariate functional data. We present valid approaches of tests by employing the idea of pooled projection and by developing a novel profile functional principal component analysis tool. The proposed methodology enjoys the merit of readily interpretability and implementation. Under mild conditions, we derive the asymptotic behaviors of test statistics under null and alternative hypotheses. Simulations show that the proposed tests have a good control of the type I error by the size and can detect difference in mean surfaces and its profile effectively in terms of power in finite samples. Finally, we apply the testing procedures to two real data sets associated with the precipitation change affected jointly by time and locations in the Midwest of USA, and the trends in human mortality from European period life tables.

In this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practical optimization problems faced by a company that can control its liquid reserves by paying dividends and injecting capital. In the first problem, we consider the classical dividend problem without capital injections. The second problem aims at maximizing the expected discounted dividend payments minus the expected discounted costs of capital injections over strategies with positive surplus at all times. The third problem has the same objective as the second one, but without the constraints on capital injections. Under the assumption of proportional transaction costs, we identify the value function and the optimal strategies for any distribution of gains., Comment: Journal of Industrial and Management Optimization (to appear)

Let $\{X_1, X_2, ... \}$ be a sequence of dependent heavy-tailed random variables with distributions $F_1, F_2,...$ on $(-\infty,\infty)$, and let $\tau$ be a nonnegative integer-valued random variable independent of the sequence $\{X_k, k \ge 1\}$. In this framework, we study the asymptotic behavior of the tail probabilities of the quantities $X_{(n)} = \max_{1\le k \le n} X_k$, $S_n =\sum_{k=1}^n X_k$ and $S_{(n)}=\max_{1\le k\le n} S_k$ for $n>1$, and for those of their randomized versions $X_{(\tau)}$, $S_{\tau}$ and $S_{(\tau)}$. We also consider applications of the results obtained to some commonly-used risk processes.

We consider the optimal dividend problem for the insurance risk process in a general Levy process setting. The objective is to find a strategy which maximizes the expected total discounted dividends until the time of ruin. We give sufficient conditions under which the optimal strategy is of barrier type. In particular, we show that if the Levy density is a completely monotone function, then the optimal dividend strategy is a barrier strategy. This approach was inspired by the work of Avram et al. (2007) [Annals of Applied Probability 17, 156-180], Loeffen (2008) [Annals of Applied Probability 18, 1669-1680] and Kyprianou et al. (2010) [Journal of Theoretical Probability 23, 547-564] in which the same problem was considered under the spectrally negative Levy processes setting., Comment: 14 pages

Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. Kyprianou, Loeffen and Perez [28] have shown that a refraction strategy (also called threshold strategy) forms an optimal strategy under the condition that the Levy measure has a completely monotone density. In this paper, we propose an alternative approach to this optimal problem., Comment: 16 pages

In this paper, we consider the optimal dividends problem for a company whose cash reserves follow a general Levy process with certain positive jumps and arbitrary negative jumps. The objective is to find a policy which maximizes the expected discounted dividends until the time of ruin. Under appropriate conditions, we appeal to very recent results in the theory of potential analysis of subordinators to obtain the convexity properties of probability of ruin. We present conditions under which the optimal dividend strategy, among all admissible ones, takes the form of a barrier strategy., Comment: 19 pages, corrected some typos

We consider the spectrally negative Levy processes and determine the joint laws for the quantities such as the first and last passage times over a fixed level, the overshoots and undershoots at first passage, the minimum, the maximum and the duration of negative values. We apply our results to insurance risk theory to find an explicit expression for the generalized expected discounted penalty function in terms of scale functions. Further, a new expression for the generalized Dickson's formula is provided., Comment: To appear in Front. Math. China