Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates

DOI10.1080/03461238.2019.1655475zbMath1433.91139OpenAlexW2969645146WikidataQ127338365 ScholiaQ127338365MaRDI QIDQ5217904

Zhaoyang Liu, Guoxin Liu, Yuying Liu

Publication date: 26 February 2020

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

Full work available at URL: https://doi.org/10.1080/03461238.2019.1655475

zbMATH Keywords

optimal dividendSparre Andersen risk modelMarkov strategymeasure-valued generatorbounded dividend rates

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05)

Related Items (3)

The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model ⋮ Optimal dividend strategy for the dual model with surplus-dependent expense ⋮ Optimal dividend strategies in a renewal risk model with phase-type distributed interclaim times

Cites Work

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• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• Optimization of the flow of dividends
• On Optimal Dividend Strategies In The Compound Poisson Model
• Optimal dividend strategies for two collaborating insurance companies
• Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance

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