Optimal dividend problem: asymptotic analysis
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Abstract: We re-visit the classical problem of optimal payment of dividends and determine the degree to which the diffusion approximation serves as a valid approximation of the classical risk model for this problem. Our results parallel some of those in B"auerle (2004), but we obtain sharper results because we use a different technique for obtaining them. Specifically, B"auerle (2004) uses probabilistic techniques and relies on convergence in distribution of the underlying processes. By contrast, we use comparison results from the theory of differential equations, and these methods allow us to determine the rate of convergence of the value functions in question.
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Cites work
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Cited in
(7)- Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
- Asymptotic analysis for optimal dividends in a dual risk model
- Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity
- Approximating the classical risk process by stable Lévy motion
- Optimal Dividends Under Model Uncertainty
- Equilibrium strategies for singular dividend control problems under the mean-variance criterion
- The dividend problem with a finite horizon
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