An optimal dividend strategy in the discrete Sparre Andersen model with bounded dividend rates

DOI10.1016/J.CAM.2013.08.029zbMATH Open1291.91127OpenAlexW2095778597MaRDI QIDQ2252188FDOQ2252188

Authors: Jiyang Tan, Pingtian Yuan, Yangjin Cheng, Ziqiang Li 

Publication date: 16 July 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.08.029

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zbMATH Keywords

controltransformationfixed point theorySparre Andersen risk modeloptimal dividend strategy

Mathematics Subject Classification ID

Cites Work

• Optimal dividends in the Brownian motion risk model with interest
• Controlled diffusion models for optimal dividend pay-out
• Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates
• Optimal Dividends
• On optimal dividends: from reflection to refraction
• Optimal dividend and issuance of equity policies in the presence of proportional costs
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• On the renewal risk model under a threshold strategy
• Optimal dividend strategies in discrete risk model with capital injections
• Optimality of the threshold dividend strategy for the compound Poisson model
• An elementary approach to discrete models of dividend strategies
• On the non-optimality of horizontal barrier strategies in the Sparre Andersen model
• The perturbed Sparre Andersen model with a threshold dividend strategy

Cited In (6)

• Optimal financing and dividend policy with Markovian switching regimes
• An Optimal Control Problem in a Risk Model with Stochastic Premiums and Periodic Dividend Payments
• A Markov decision problem in a risk model with interest rate and Markovian environment
• Dividend-reinsurance strategy in the Sparre Andersen model
• Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates
• The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier

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