On optimal dividend strategies in insurance with a random time horizon

For the classical compound Poisson surplus process of an insurance portfolio we investigate the problem of how to optimally pay out dividends to shareholders if the criterion is to maximize the expected discounted dividend payments until the time of ruin or a random time horizon, whichever is smaller. We explicitly solve this problem for an exponential time horizon and exponential claim sizes. Furthermore, we study the case of an Erlang(2) time horizon by introducing an external state process and derive the solution under the assumption that the external state process is observable. The results are illustrated by numerical examples