Optimal dividend strategies for two collaborating insurance companies
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Publication:5233179
DOI10.1017/APR.2017.11zbMath1429.91274arXiv1505.03980OpenAlexW2962773255MaRDI QIDQ5233179
Nora Muler, Pablo Azcue, Hansjoerg Albrecher
Publication date: 16 September 2019
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1505.03980
Hamilton-Jacobi-Bellman equationviscosity solutionscompound Poisson processtwo-dimensional optimal dividend problem
Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Corporate finance (dividends, real options, etc.) (91G50) Actuarial mathematics (91G05)
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