Optimal dividends under Erlang(2) inter-dividend decision times

DOI10.1016/j.insmatheco.2018.01.009zbMath1401.91094OpenAlexW2738627437MaRDI QIDQ1742724

Vincent Tu, Benjamin Avanzi, Bernard Wong

Publication date: 12 April 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/235609

zbMATH Keywords

Brownian motionstochastic controldividendsbarrier strategiesperiodic strategiesErlangisation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)

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Cites Work

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• Randomized observation periods for the compound Poisson risk model: Dividends
• On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• The dilemma between dividends and safety and a generalization of the Lundberg-Cramér formulas
• Strategies for Dividend Distribution: A Review
• Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance

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