Optimality results for dividend problems in insurance

Hansjörg Albrecher; Stefan Thonhauser

doi:10.1007/BF03191909

Optimality results for dividend problems in insurance

Hansjörg Albrecher^*, Stefan Thonhauser

^*Korrespondierende/r Autor/-in für diese Arbeit

Publikation: Beitrag in einer Fachzeitschrift › Artikel › Begutachtung

Abstract

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.

Originalsprache	englisch
Seiten (von - bis)	295-320
Seitenumfang	26
Fachzeitschrift	Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales / Serie A, Matematicas
Jahrgang	103
Ausgabenummer	2
DOIs	https://doi.org/10.1007/BF03191909
Publikationsstatus	Veröffentlicht - 1 Dez. 2009
Extern publiziert	Ja

ASJC Scopus subject areas

Analyse
Algebra und Zahlentheorie
Geometrie und Topologie
Computational Mathematics
Angewandte Mathematik

Fields of Expertise

Human- & Biotechnology

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10.1007/BF03191909

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KW - Dynamic programming

KW - Hamilton-jacobi-bellman equation

KW - Risk theory

KW - Stochastic control

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Optimality results for dividend problems in insurance

Abstract

ASJC Scopus subject areas

Fields of Expertise

Zugriff auf Dokument

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