Optimal dividend strategies in a renewal risk model with phase-type distributed interclaim times

DOI10.1007/S00245-022-09853-4zbMath1484.91409arXiv2004.08132OpenAlexW4214744296MaRDI QIDQ2115138

Linlin Tian, Zhaoyang Liu

Publication date: 15 March 2022

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.08132

zbMATH Keywords

Hamilton-Jacobi-Bellman equationphase-type distributionoptimal dividend

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

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• Phase-type distributions: open problems and a few properties
• On Optimal Dividend Strategies In The Compound Poisson Model
• Dividend Barrier Strategies in A Renewal Risk Model with Generalized Erlang Interarrival Times
• Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates
• Optimal dividend strategies for two collaborating insurance companies
• A Review on Phase-type Distributions and their Use in Risk Theory

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