Szczegóły publikacji
Opis bibliograficzny
On the optimal dividend problem for insurance risk models with surplus-dependent premiums / Ewa MARCINIAK, Zbigniew Palmowski // Journal of Optimization Theory and Applications ; ISSN 0022-3239. — 2016 — vol. 168 no. 2, s. 723–742. — Bibliogr. s. 741–742, Abstr. — Publikacja dostępna online od: 2015-05-27
Autorzy (2)
- AGHMarciniak Ewa
- Palmowski Zbigniew
Słowa kluczowe
Dane bibliometryczne
| ID BaDAP | 95908 |
|---|---|
| Data dodania do BaDAP | 2016-02-10 |
| Tekst źródłowy | URL |
| DOI | 10.1007/s10957-015-0755-3 |
| Rok publikacji | 2016 |
| Typ publikacji | artykuł w czasopiśmie |
| Otwarty dostęp |  |
| Creative Commons | |
| Czasopismo/seria | Journal of Optimization Theory and Applications |
Abstract
This paper concerns an optimal dividend distribution problem for an insurance company with surplus-dependent premium. In the absence of dividend payments, such a risk process is a particular case of so-called piecewise deterministic Markov processes. The control mechanism chooses the size of dividend payments. The objective consists in maximizing the sum of the expected cumulative discounted dividend payments received until the time of ruin and a penalty payment at the time of ruin, which is an increasing function of the size of the shortfall at ruin. A complete solution is presented to the corresponding stochastic control problem. We identify the associated Hamilton–Jacobi–Bellman equation and find necessary and sufficient conditions for optimality of a single dividend-band strategy, in terms of particular Gerber–Shiu functions. A number of concrete examples are analyzed.