Dividend Maximization in the Cramer-Lundberg Model using Homotopy Analysis Method

DOI10.3844/JMSSP.2011.61.67zbMATH Open1219.91070OpenAlexW2079054147MaRDI QIDQ3089059FDOQ3089059

Authors: Juna Kasozi, Fred Mayambala, Charles Wilson Mahera 

Publication date: 23 August 2011

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

Full work available at URL: https://doi.org/10.3844/jmssp.2011.61.67

zbMATH Keywords

Hamilton-Jacobi-Bellman equationbarrier strategydividendshomotopy analysis method (HAM)Cramér-Lundberg modelexpected present value (EPP)

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Cited In (1)

• Dividend maximization under a set ruin probability target in the presence of proportional and excess-of-loss reinsurance

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