Optimal Dividend Strategy in the Compound Poisson Model with Constant Interest

DOI10.1080/15326340601142271zbMath1291.91105MaRDI QIDQ3444706

Rong Wu, Ying Fang

Publication date: 4 June 2007

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340601142271

zbMATH Keywords

confluent hypergeometric function; constant interest force; threshold strategy; compound Poisson risk model; Kummer's confluent hypergeometric equation

Mathematics Subject Classification ID

60K10: Applications of renewal theory (reliability, demand theory, etc.)

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Optimal dividend policies for piecewise-deterministic compound Poisson risk models, Dividend optimization for general diffusions with restricted dividend payment rates, Review of statistical actuarial risk modelling, Optimality of the threshold dividend strategy for the compound Poisson model, On the classical risk model with credit and debit interests under absolute ruin, Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes, The perturbed Sparre Andersen model with interest and a threshold dividend strategy, Optimal dividend strategies in discrete risk model with capital injections, Dividend payments in the classical risk model under absolute ruin with debit interest, A Constant Interest Risk Model with Tax Payments, The Compound Poisson Risk Model with Interest and a Threshold Strategy

Cites Work

• Controlled diffusion models for optimal dividend pay-out
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• On optimal dividends: from reflection to refraction
• Some Optimal Dividends Problems
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