On optimal dividend payments and related problems

DOI10.1016/0167-6687(88)90081-9zbMath0674.62074OpenAlexW2036130797MaRDI QIDQ1121632

Karl-Heinz Waldmann

Publication date: 1988

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(88)90081-9

zbMATH Keywords

ruinextrapolation methodslifetime distributionrisk theoryprobabilities of ruinfirst two momentsexpected dividend paymentsminimal expected lifeMonotone upper and lower bounds

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE ⋮ Stochastic control of funding systems. ⋮ STOCHASTIC APPROACH TO DIVIDEND EQUALIZATION FUND MODELLING AND SOLVENCY ⋮ Strategies for Dividend Distribution: A Review

Cites Work

• A modified dynamic programming method for Markovian decision problems
• On Bounds for Dynamic Programs
• Bounds for the Distribution of the Run Length of One-Sided and Two-Sided CUSUM Quality Control Schemes
• Zur Extrapolation in Markoffschen Entscheidungsmodellen mit Diskontierung
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