Optimal dividend control for a generalized risk model with investment incomes and debit interest
نویسندگان
چکیده
منابع مشابه
Optimal dividend control for a generalized risk model with investment incomes and debit interest
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest for positive reserve, and debit interest for negative reserve. Ruin occurs when the reserve drops below the critical value. The company controls the dividend ...
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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: Scandinavian Actuarial Journal
سال: 2013
ISSN: 0346-1238,1651-2030
DOI: 10.1080/03461238.2011.585771