De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
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Publication:3006673
DOI10.1080/15326349.2011.567930zbMath1214.91051arXiv0906.2100OpenAlexW1975667699MaRDI QIDQ3006673
Irmina Czarna, Zbigniew Palmowski
Publication date: 20 June 2011
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0906.2100
Related Items (7)
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process ⋮ Recursive methods for a multi-dimensional risk process with common shocks ⋮ A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme ⋮ Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks ⋮ Optimal dividend strategies for two collaborating insurance companies ⋮ Optimal dividend payments for a two-dimensional insurance risk process ⋮ Regression Monte Carlo for impulse control
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