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

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	295-320
Number of pages	26
Journal	Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales / Serie A, Matematicas
Volume	103
Issue number	2
DOIs	https://doi.org/10.1007/BF03191909
Publication status	Published - 1 Dec 2009
Externally published	Yes

Keywords

Dividends
Dynamic programming
Hamilton-jacobi-bellman equation
Risk theory
Stochastic control

ASJC Scopus subject areas

Analysis
Algebra and Number Theory
Geometry and Topology
Computational Mathematics
Applied Mathematics

Fields of Expertise

Human- & Biotechnology

Access to Document

10.1007/BF03191909

Cite this

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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

Keywords

ASJC Scopus subject areas

Fields of Expertise

Access to Document

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