Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest

DOI10.1007/S10998-020-00338-XzbMath1488.60208OpenAlexW3014494855MaRDI QIDQ822631

Wei Wang, Jing-Min He

Publication date: 22 September 2021

Published in: Periodica Mathematica Hungarica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10998-020-00338-x

zbMATH Keywords

Hamilton-Jacobi-Bellman equationweak infinitesimal generatorabsolute ruindebit interestBarrier strategy

Mathematics Subject Classification ID

Markov processes (60J99) Actuarial mathematics (91G05)

Cites Work

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