Optimal dividend policy in an insurance company with contagious arrivals of claims

DOI10.3934/MCRF.2020024zbMath1479.91314OpenAlexW3012712271MaRDI QIDQ829004

Baojun Bian, Yiling Chen

Publication date: 5 May 2021

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2020024

zbMATH Keywords

viscosity solutioninsuranceself-excitingbarrier curve strategyoptimal dividend payment

Mathematics Subject Classification ID

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

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Cites Work

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