Optimal dividend and investment problems under Sparre Andersen model

DOI10.1214/17-AAP1288zbMath1408.91098arXiv1607.00724OpenAlexW2963032282MaRDI QIDQ1704145

Xiaojing Xing, Jin Ma, Lihua Bai

Publication date: 8 March 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.00724

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdynamic programmingconstrained viscosity solutionoptimal dividend problemSparre Andersen modelbackward Markovization

Mathematics Subject Classification ID

Related Items (6)

Minimizing ruin probability under the Sparre Anderson model ⋮ Optimal dividend of compound Poisson process under a stochastic interest rate ⋮ Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates ⋮ Optimal singular dividend problem under the Sparre Andersen model ⋮ Optimal Investment and Dividend Strategy under Renewal Risk Model ⋮ Optimal dividend strategies in a renewal risk model with phase-type distributed interclaim times

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