Optimal dividend strategies for two collaborating insurance companies
نویسندگان
چکیده
منابع مشابه
Optimal Dividend Strategies for Two Collaborating Insurance Companies
We consider a two-dimensional optimal dividend problem in the context of two insurance companies with compound Poisson surplus processes, who collaborate by paying each other’s deficit when possible. We solve the stochastic control problem of maximizing the weighted sum of expected discounted dividend payments (among all admissible dividend strategies) until ruin of both companies, by extending...
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This paper is a survey of some classical contributions and recent progress in identifying optimal dividend payment strategies in the framework of collective risk theory. In particular, available mathematical tools are discussed and some challenges are described that occur under various objective functions and model assumptions. Finally, some open research problems in this field are stated. AMS ...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2017
ISSN: 0001-8678,1475-6064
DOI: 10.1017/apr.2017.11