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

• Autorzy: Dariusz Socha
• Języki publikacji: EN

Abstrakty

EN

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.

Kategorie tematyczne

• 90C46: Optimality conditions, duality
• 90C40: Markov and semi-Markov decision processes

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2014
• Tom: 41
• Numer: 1
• Strony: 13-31

Daty

wydano

2014

Twórcy

autor

Dariusz Socha

• Faculty of Mathematics and Information Science, Warsaw University of Technology, 00-662 Warszawa, Poland

Identyfikatory

DOI

10.4064/am41-1-2