Optimal dividend policies for piecewise-deterministic compound Poisson risk models

DOI10.1080/03461238.2013.846277zbMath1401.91136arXiv1106.2781OpenAlexW3101962486MaRDI QIDQ4576905

Runhuan Feng, Chao Zhu, Shuaiqi Zhang, Hans W. Volkmer

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.2781

zbMATH Keywords

HJB equationquasi-variational inequalitybarrier strategythreshold strategypiecewise-deterministic compound Poisson model

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (3)

Optimal dividend-penalty strategies for insurance risk models with surplus-dependent premiums ⋮ Optimal dividend-penalty policies for a piecewise-deterministic compound Poisson risk model with transaction costs ⋮ Optimal dividend strategy for the dual model with surplus-dependent expense

Uses Software

• DLMF

Cites Work

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