Optimal dividend strategies for a catastrophe insurer

Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Actuarial mathematics (91G05) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Cites Work

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A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme
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Ruin probabilities in a Markovian shot-noise environment
The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions

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