Optimal investment policy and dividend payment strategy in an insurance company
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Publication:990379
DOI10.1214/09-AAP643zbMath1196.91033arXiv1010.4988MaRDI QIDQ990379
Publication date: 1 September 2010
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1010.4988
Hamilton-Jacobi-Bellman equationviscosity solutioninsurancebarrier strategydynamic programming principlerisk controloptimal investment policyband strategyCramér-Lundberg processdividend payment strategy
Stochastic models in economics (91B70) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Corporate finance (dividends, real options, etc.) (91G50)
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