Optimal singular dividend problem under the Sparre Andersen model

DOI10.1007/S10957-019-01600-0zbMATH Open1434.49025arXiv1807.08130OpenAlexW2983669033WikidataQ126867383 ScholiaQ126867383MaRDI QIDQ2302759FDOQ2302759

Authors: Linlin Tian, Lihua Bai, Junyi Guo 

Publication date: 26 February 2020

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

Abstract: Consider an insurance company for which the reserve process follows the Sparre Anderson model. In this paper, we study the optimal dividend problem for such a company as Bai, Ma and Xing [9] do. However, we remove the constant restriction on the dividend rates, i.e. the optimization problem is of singular type. In this case, the value function is no longer bounded and the associated HJB equation is a variational inequality involving a first order integro-differential operator and a gradient constraint. We use other techniques to prove the regularity properties for the value function and show that the value function is a constrained viscosity solution of the associated HJB equation. In addition, we show that the value function is the upper semi-continuous envelop of the supremum for a class of subsolutions.

Full work available at URL: https://arxiv.org/abs/1807.08130

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zbMATH Keywords

constrained viscosity solutionHamilton-Jacobi-Bellman equationoptimal dividendsingular controlviscosity subsolutionviscosity supersolution

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

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Cited In (3)

• Optimal Ratcheting of Dividends in a Brownian Risk Model
• Optimal ratcheting of dividend payout under Brownian motion surplus
• Minimizing ruin probability under the Sparre Anderson model

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