Optimal singular dividend problem under the Sparre Andersen model
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Publication:2302759
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.
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Cited in
(7)- Optimal dividend and investment problems under Sparre Andersen model
- Optimal investment and dividend strategy under renewal risk model
- Minimizing ruin probability under the Sparre Anderson model
- Optimal Ratcheting of Dividends in a Brownian Risk Model
- Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates
- Optimal ratcheting of dividend payout under Brownian motion surplus
- Optimal dividend, investment, and risk control strategies in a financial market with dynamic contagion jumps
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