On the optimal dividend problem in the dual model with surplus-dependent premiums (Q1626507): Difference between revisions
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Revision as of 04:08, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | On the optimal dividend problem in the dual model with surplus-dependent premiums |
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On the optimal dividend problem in the dual model with surplus-dependent premiums (English)
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27 November 2018
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Concerning the dual model for insurance applications, the authors compute the mean of the cumulative discounted dividends paid until the time of ruin, in case the barrier strategy is applied. The associated Hamilton-Jacobi-Bellman equation is considered. Moreover, sufficient conditions for a barrier strategy to be optimal are presented. The paper is closed with some numerical examples.
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stochastic control
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exit problems
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barrier strategy
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dividends
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optimal strategy
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integro-differential HJB equation
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dual model
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PDMP
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