Dividend optimization problem in the moving average risk model

DOI10.1080/03610918.2025.2488947MaRDI QIDQ7356820zbMATH OpenFDO

Authors Jiyang Tan

Publication date 24 September 2026

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2025.2488947

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20)

Cites work

• A Markov decision problem in a risk model with interest rate and Markovian environment
• A periodic dividend problem with inconstant barrier in Markovian environment
• An optimal control problem in a risk model with stochastic premiums and periodic dividend payments
• An optimal dividend strategy in the discrete Sparre Andersen model with bounded dividend rates
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• On optimal dividends with exponential and linear penalty payments
• On optimal dividends with penalty payments in the Cramér-Lundberg model
• On optimal periodic dividend strategies in the dual model with diffusion
• On the moments and distribution approximations of stochastic aggregate claims with dependence
• Optimal control strategies for dividend payments and capital injections in compound Markov binomial risk model with penalties for deficits
• Optimal dividend strategy in compound binomial model with bounded dividend rates
• Periodic dividend optimization problem under the control of survival probability
• Risk models based on time series for count random variables
• Ruin theory in the linear model

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