Discrete time optimal dividend problem with constant premium and exponentially distributed claims

@article{DariuszSocha2014,
abstract = {An optimal dividend problem is studied consisting in maximisation of expected discounted dividend payments until ruin time. A solution of this problem for constant premium d and exponentially distributed claims is presented. It is shown that an optimal policy is a barrier policy. Moreover, an analytic way to solve this problem is sketched.},
author = {Dariusz Socha},
journal = {Applicationes Mathematicae},
keywords = {optimal dividend problem; Bellman equation; barrier strategy},
language = {eng},
number = {1},
pages = {13-31},
title = {Discrete time optimal dividend problem with constant premium and exponentially distributed claims},
url = {http://eudml.org/doc/280086},
volume = {41},
year = {2014},
}

TY - JOUR
AU - Dariusz Socha
TI - Discrete time optimal dividend problem with constant premium and exponentially distributed claims
JO - Applicationes Mathematicae
PY - 2014
VL - 41
IS - 1
SP - 13
EP - 31
AB - An optimal dividend problem is studied consisting in maximisation of expected discounted dividend payments until ruin time. A solution of this problem for constant premium d and exponentially distributed claims is presented. It is shown that an optimal policy is a barrier policy. Moreover, an analytic way to solve this problem is sketched.
LA - eng
KW - optimal dividend problem; Bellman equation; barrier strategy
UR - http://eudml.org/doc/280086
ER -