Optimal dividend-penalty strategies for insurance risk models with surplus-dependent premiums

DOI10.1007/s10473-020-0112-1zbMath1499.91094OpenAlexW2996716450MaRDI QIDQ2151095

Jinyan Zhao, Jingwei Li, Guoxin Liu

Publication date: 30 June 2022

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10473-020-0112-1

zbMATH Keywords

viscosity solutionHJB equationGerber-Shiu functionband strategyrisk models with surplus-dependent premiums

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Actuarial mathematics (91G05) Jump processes on discrete state spaces (60J74)

Related Items (2)

On de Finetti's optimal impulse dividend control problem under Chapter 11 bankruptcy ⋮ Discrete-time risk models with surplus-dependent premium corrections

Cites Work

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