On the optimal dividend problem in the dual model with surplus-dependent premiums

DOI10.1007/s10957-016-1050-7zbMath1411.91306arXiv1605.04584OpenAlexW2963287937MaRDI QIDQ1626507

Zbigniew Palmowski, Ewa Marciniak

Publication date: 27 November 2018

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.04584

zbMATH Keywords

optimal strategystochastic controlbarrier strategydual modeldividendsexit problemsPDMPintegro-differential HJB equation

Mathematics Subject Classification ID

Related Items (3)

A dual risk model with additive and proportional gains: ruin probability and dividends ⋮ Discrete-time risk models with surplus-dependent premium corrections ⋮ Optimal dividend strategy for the dual model with surplus-dependent expense

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