A Markov decision problem in a risk model with interest rate and Markovian environment
DOI10.1007/s11425-015-5048-7zbMath1343.60108OpenAlexW2255721617MaRDI QIDQ2629544
Ji Yang Tan, Ziqiang Li, Yangjin Cheng, Xiang-Qun Yang
Publication date: 6 July 2016
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-015-5048-7
interest raterisk modelMarkovian environmentMarkov decision problemoptimal control strategyruin penaltyperiodic dividend
Processes with independent increments; Lévy processes (60G51) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov and semi-Markov decision processes (90C40) Existence of optimal solutions to problems involving randomness (49J55)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls
- Dividends and reinsurance under a penalty for ruin
- Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
- Optimal dividend strategy in compound binomial model with bounded dividend rates
- An optimal dividends problem with transaction costs for spectrally negative Lévy processes
- De Finetti's optimal dividends problem with an affine penalty function at ruin
- Compound binomial risk model in a Markovian environment
- On optimal periodic dividend strategies in the dual model with diffusion
- Optimal dividend payments in the stochastic Ramsey model
- Dividend maximization under consideration of the time value of ruin
- Controlled diffusion models for optimal dividend pay-out
- The compound binomial model with a constant dividend barrier and periodically paid dividends
- Optimal risk control and dividend distribution policies for a diffusion model with terminal value
- An optimal dividend strategy in the discrete Sparre Andersen model with bounded dividend rates
- Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
- Optimal Dividend Policies with Transaction Costs for a Class of Diffusion Processes
- An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
- Maximizing Dividends without Bankruptcy
- Some Optimal Dividends Problems