Optimal control for dividend payments and capital injections in the discrete Sparre Andersen risk model

DOI10.13715/J.CNKI.NSJXU.2018.01.015zbMATH Open1413.91036MaRDI QIDQ4690803FDOQ4690803

Authors: Ge Chen, Yuan Ping Chen, Yi-Jing Wang 

Publication date: 22 October 2018

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zbMATH Keywords

penaltydividendSparre Andersen modeloptimal control strategycapital injection

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of optimal control and differential games (49N90)

Cited In (5)

• An optimal dividend strategy in the discrete Sparre Andersen model with bounded dividend rates
• An optimal control problem in a risk model with stochastic premiums and periodic dividend payments
• Optimal investment and dividend strategy in the discrete Sparre Andersen risk model
• Optimal control strategy for dividend-payments in a risk model with stochastic premiums
• Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest

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