Bayesian Dividend Optimization and Finite Time Ruin Probabilities

DOI10.1080/15326349.2014.900390zbMath1292.91182arXiv1602.04660OpenAlexW3104502663MaRDI QIDQ4981823

Michaela Szölgyenyi, Stefan Thonhauser, Gunther Leobacher

Publication date: 25 June 2014

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.04660

zbMATH Keywords

stochastic optimal controlviscosity solutionsfinite-time ruin probabilitydividend maximizationfiltering theory

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Filtering in stochastic control theory (93E11) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50)

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Dividend maximization in a hidden Markov switching model ⋮ Bayesian optimal investment and reinsurance with dependent financial and insurance risks ⋮ Optimal Ratcheting of Dividends in a Brownian Risk Model ⋮ On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications ⋮ Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax

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