Optimal Dividend Payments For The Piecewise-deterministic Poisson Risk Model

Provided by: Cornell University Topic: Data Management Date Added: Jun 2011 Format: PDF
This paper deals with optimal dividend payment problem in the general setup of a piecewise-deterministic compound Poisson risk model. The objective of an insurance business under consideration is to maximize the expected discounted dividend payout up to the time of ruin. Both restricted and unrestricted payment schemes are considered. In the case of restricted payment scheme, the value function is shown to be a classical solution of the corresponding Hamilton-Jacobi-Bellman equation, which, in turn, leads to an optimal restricted dividend payment policy.

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