Controlled diffusion models for optimal dividend pay-out
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Publication:1381153
DOI10.1016/S0167-6687(96)00017-0zbMath1065.91529OpenAlexW1994218338MaRDI QIDQ1381153
Soren Asmussen, Michael I. Taksar
Publication date: 1997
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(96)00017-0
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Cites Work
- Ruin problems with compounding assets
- An extension to the renewal theorem and an application to risk theory
- Instantaneous Control of Brownian Motion
- Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
- Approximations for the probability of ruin within finite time
- A class of approximations of ruin probabilities
- A remark on ‘A class of approximations of ruin probabilities’
- Diffusion approximations for a risk process with the possibility of borrowing and investment
- Lectures on the use of control theory in insurance
- Premium control in an insurance system, an approach using linear control theory
- Diffusion approximations in collective risk theory
- Games of Economic Survival with Discrete- and Continuous-Income Processes
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