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

DOI10.3844/JMSSP.2011.61.67MaRDI QIDQ3089059zbMATH OpenOpenAlexFDO

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)

Copyright license Creative Commons Attribution 4.0 International

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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