A Markov decision problem in a risk model with interest rate and Markovian environment

DOI10.1007/s11425-015-5048-7zbMath1343.60108OpenAlexW2255721617MaRDI QIDQ2629544

Ji Yang Tan, Ziqiang Li, Yangjin Cheng, Xiang-Qun Yang

Publication date: 6 July 2016

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-015-5048-7

zbMATH Keywords

interest raterisk modelMarkovian environmentMarkov decision problemoptimal control strategyruin penaltyperiodic dividend

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov and semi-Markov decision processes (90C40) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (4)

Compound binomial risk model in a Markovian environment with capital cost and the calculation algorithm ⋮ A consistent estimation of optimal dividend strategy in a risk model with delayed claims ⋮ A dividend optimization problem with constraint of survival probability in a Markovian environment model ⋮ An Optimal Control Problem in a Risk Model with Stochastic Premiums and Periodic Dividend Payments

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