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Journal of the Japan Statistical Society, Japanese Issue
In the context of traditional risk theory for an insurance company, an important problem is "dividend strategy", that is, how the portion where the insurance company's surplus exceeds a level of barrier will be paid to the shareholders as dividends. The optimal dividend barrier is defined as the level of the barrier that maximizes the expected discounted dividends until ruin. In this paper, based on the M-estimation method, we estimate the optimal dividend barrier from a sample path of thedoi:10.11329/jjssj.48.1 fatcat:dy3m2mkcbzftpdiydhhzvvbibi