Optimal dividend and investment problems under Sparre Andersen model

DOI10.1214/17-AAP1288zbMath1408.91098arXiv1607.00724OpenAlexW2963032282MaRDI QIDQ1704145

Xiaojing Xing, Jin Ma, Lihua Bai

Publication date: 8 March 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.00724

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdynamic programmingconstrained viscosity solutionoptimal dividend problemSparre Andersen modelbackward Markovization

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (6)

Minimizing ruin probability under the Sparre Anderson model ⋮ Optimal dividend of compound Poisson process under a stochastic interest rate ⋮ Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates ⋮ Optimal singular dividend problem under the Sparre Andersen model ⋮ Optimal Investment and Dividend Strategy under Renewal Risk Model ⋮ Optimal dividend strategies in a renewal risk model with phase-type distributed interclaim times

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal reinsurance/investment problems for general insurance models
• Viscosity solutions of fully nonlinear second-order elliptic partial differential equations
• Optimal dividend strategies for a risk process under force of interest
• Optimal investment decisions when time-horizon is uncertain
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• Optimal investment policy and dividend payment strategy in an insurance company
• Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
• Viscosity solutions of nonlinear integro-differential equations
• On a class of renewal risk models with a constant dividend barrier
• Controlled Markov processes and viscosity solutions
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
• Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
• Optimal Dividend Policies with Transaction Costs for a Class of Diffusion Processes
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Principle of equivalent utility and universal variable life insurance pricing
• Optimal Control with State-Space Constraint I
• Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
• User’s guide to viscosity solutions of second order partial differential equations
• Optimal proportional reinsurance policies for diffusion models
• Ruin Probabilities for Insurance Models Involving Investments
• Optimal Dynamic XL Reinsurance
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimization of the flow of dividends
• On Optimal Dividend Strategies In The Compound Poisson Model
• Optimal risk control and dividend policies under excess of loss reinsurance
• Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Optimal investment for insurers
• Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach

This page was built for publication: Optimal dividend and investment problems under Sparre Andersen model