Optimal dividend payments for a two-dimensional insurance risk process

DOI10.1007/s13385-018-0182-6zbMath1422.91324arXiv1603.07019OpenAlexW2962944268WikidataQ129005885 ScholiaQ129005885MaRDI QIDQ2323675

Zbigniew Palmowski, Nora Muler, Pablo Azcue

Publication date: 3 September 2019

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.07019

zbMATH Keywords

insurance riskcompound Poisson processesoptimal dividends

Mathematics Subject Classification ID

Related Items (6)

Optimal Ratcheting of Dividends in a Brownian Risk Model ⋮ A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process ⋮ On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications ⋮ Optimal Ratcheting of Dividends in Insurance ⋮ Non-convex Hamilton-Jacobi equations with gradient constraints ⋮ Regression Monte Carlo for impulse control

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