Optimal dividend-payout in random discrete time
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Publication:3104433
DOI10.1524/STND.2011.1097zbMath1233.91139OpenAlexW78595814MaRDI QIDQ3104433
Stefan Thonhauser, Nicole Bäuerle, Hansjoerg Albrecher
Publication date: 19 December 2011
Published in: Statistics & Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://publikationen.bibliothek.kit.edu/1000032886
stochastic controlMarkov decision processinsurance riskLévy modelCramér--Lundberg modeldiscrete dividend strategy
Discrete-time Markov processes on general state spaces (60J05) Optimal stochastic control (93E20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
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Cites Work
- De Finetti's optimal dividends problem with an affine penalty function at ruin
- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
- Approximation of Optimal Reinsurance and Dividend Payout Policies
- Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
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