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Optimal dividend strategies in the diffusion model with stochastic return on investments

✍ Scribed by Wei Wang; Chunsheng Zhang


Book ID
107347222
Publisher
Academy of Mathematics and Systems Science, Chinese Academy of Sciences
Year
2010
Tongue
English
Weight
218 KB
Volume
23
Category
Article
ISSN
1009-6124

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Let a decision policy ~r correspond to a twodimensional stochastic process {tzlr(t), Lt'}, with 0 < tx~(t) \_< 1 where 1-tx,( 0 denotes the fraction of the incoming claims at time t that is reinsured and L," denotes the total payout of dividend up to time t. When applying policy ~-the reserve of the