Optimality Results for Dividend Problems in Insurance

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Serval ID
serval:BIB_1E038C9FB69E
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Optimality Results for Dividend Problems in Insurance
Journal
RACSAM - Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas
Author(s)
Albrecher H., Thonhauser S.
ISSN
1578-7303 (Print))
1579-1505 (Online)
Publication state
Published
Issued date
2009
Peer-reviewed
Oui
Volume
103
Number
2
Pages
295-320
Language
english
Abstract
This paper is a survey of some classical contributions and recent progress in identifying optimal dividend payment strategies in the framework of collective risk theory. In particular, available mathematical tools are discussed and some challenges are described that occur under various objective functions and model assumptions. Finally, some open research problems in this field are stated.
Keywords
Stochastic control, Dynamic programming, Hamilton-Jacobi-Bellman equation, Risk theory, Dividends
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Create date
09/02/2009 18:14
Last modification date
20/08/2019 12:54
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