Risk and Actuarial Studies, Australian School of Business, The Univeristy of New South Wales
Asymptotic behavior, Brownian motion, Compound Poisson, Force of interest
Dividends, optimization, regime-switching, restricted dividend rate, threshold strategy
Cramér-Lundberg model, Dynamic programming principle, Hamilton-Jacobi-Bellman equation, Optimal dividend strategy, Solvency constraints
Diffusion, dividend, dynamic programming principle, Hamilton-Jacobi-Bellman (HJB) equation, optimization, optimal dividend strategy, regime switching, stochastic control, value function
Absolute ruin, dividend optimization, stochastic control, value function, viscosity solution
band strategy, compound Poisson process, Cramér-Lundberg model, dividend optimization, regime switching, singular control
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.172 seconds
We'd like to ask you to provide feedback on your experience with SSRN today. Your feedback will be used to enhance the site in the future.
Would you be willing to answer a few questions when you leave our site?
Yes, I'm willing to take part in a survey
No, thank you