Optimal dividend and investment problems under Sparre Andersen model
نویسندگان
چکیده
منابع مشابه
Optimal Dividend and Investment Problems under Sparre Andersen Model
In this paper we study a class of optimal dividend and investment problems assuming that the underlying reserve process follows the Sparre Andersen model, that is, the claim frequency is a “renewal” process, rather than a standard compound Poisson process. The main feature of such problems is that the underlying reserve dynamics, even in its simplest form, is no longer Markovian. By using the b...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2017
ISSN: 1050-5164
DOI: 10.1214/17-aap1288