Optimal Dividend Problem: Asymptotic Analysis

DOI10.1137/20M1354738zbMath1464.91068arXiv2007.10834MaRDI QIDQ4990517

Virginia R. Young, Asaf Cohen

Publication date: 28 May 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.10834

zbMATH Keywords

diffusion approximationapproximation erroroptimal dividend strategyCramer-Lundberg risk process

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic processes (60G99) Actuarial mathematics (91G05)

Related Items (4)

Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis ⋮ Optimal Dividends Under Model Uncertainty ⋮ Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity ⋮ Approximating the classical risk process by stable Lévy motion

Cites Work

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• Tightness criteria for laws of semimartingales
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• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Numerical Methods for Stochastic Singular Control Problems
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• Strategies for Dividend Distribution: A Review
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