On the optimal dividend problem for insurance risk models with surplus-dependent premiums

DOI10.1007/s10957-015-0755-3zbMath1344.49029arXiv1604.06892OpenAlexW431166142WikidataQ59473206 ScholiaQ59473206MaRDI QIDQ274118

Ewa Marciniak, Zbigniew Palmowski

Publication date: 22 April 2016

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.06892

zbMATH Keywords

stochastic controlGerber-Shiu functionbarrier strategyinsurance risk modelsintegro-differential Hamilton-Jacobi-Bellman equationoptimal dividend problem

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimality conditions for problems involving randomness (49K45) Hamilton-Jacobi theories (49L99) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (17)

Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes ⋮ On the optimal dividend problem in the dual model with surplus-dependent premiums ⋮ On the bail-out optimal dividend problem ⋮ Unnamed Item ⋮ Optimal dividend-penalty strategies for insurance risk models with surplus-dependent premiums ⋮ A two-dimensional dividend problem for collaborating companies and an optimal stopping problem ⋮ On the optimality of periodic barrier strategies for a spectrally positive Lévy process ⋮ On optimal dividends with penalty payments in the Cramér-Lundberg model ⋮ Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer ⋮ On optimal dividends with exponential and linear penalty payments ⋮ Continuity inequalities for multidimensional renewal risk models ⋮ Optimal singular dividend problem under the Sparre Andersen model ⋮ Optimal dividends with an affine penalty ⋮ Unnamed Item ⋮ Discrete-time risk models with surplus-dependent premium corrections ⋮ Optimal dividend strategy for the dual model with surplus-dependent expense ⋮ Gerber-Shiu analysis with two-sided acceptable levels

Cites Work

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