Optimal dividend control for a generalized risk model with investment incomes and debit interest

DOI10.1080/03461238.2011.585771zbMath1308.91093arXiv1102.4132MaRDI QIDQ2868603

Jinxia Zhu

Publication date: 17 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.4132

zbMATH Keywords

viscosity solution; stochastic control; value function; absolute ruin; dividend optimization

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

Related Items

A perturbation approach to optimal investment, liability ratio, and dividend strategies, Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest, Optimal investment and consumption for an insurer with high-watermark performance fee, The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier, Optimal dividend-penalty strategies for insurance risk models with surplus-dependent premiums, The absolute ruin insurance risk model with a threshold dividend strategy

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