Discrete time optimal dividend problem with constant premium and exponentially distributed claims
Applicationes Mathematicae (2014)
- Volume: 41, Issue: 1, page 13-31
- ISSN: 1233-7234
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topDariusz Socha. "Discrete time optimal dividend problem with constant premium and exponentially distributed claims." Applicationes Mathematicae 41.1 (2014): 13-31. <http://eudml.org/doc/280086>.
@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 -
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