Optimal Parisian-type dividends payments discounted by the number of claims for the perturbed classical risk process

Abstract

In this paper we consider a classical risk process perturbed by a Brownian motion. We analyze the value function describing the mean of the cumulative discounted dividend payments paid up to Parisian ruin time and further discounted by the number of claims appeared up to this ruin time. We identify this value function for the barrier strategy and find the sufficient conditions for this strategy to be optimal. We also consider few particular examples.