Abstract
This work deals with an optimal dividend payment problem for a piecewise-deterministic compound Poisson insurance risk model. The objective is to maximize the expected discounted dividend payout up to the time of ruin. When the dividend payment rate is restricted, the value function is shown to be a solution of the corresponding Hamilton-Jacobi-Bellman equation, which in turn leads to a tractable methodology to find an optimal threshold dividend payment policy. For the case of unrestricted payment rate, the value function and an optimal barrier strategy are determined explicitly with exponential claim size distributions. A comparison of two examples is provided to illustrate the main results.
| Original language | English (US) |
|---|---|
| Article number | 6426672 |
| Pages (from-to) | 7309-7314 |
| Number of pages | 6 |
| Journal | Proceedings of the IEEE Conference on Decision and Control |
| DOIs | |
| State | Published - 2012 |
| Externally published | Yes |
| Event | 51st IEEE Conference on Decision and Control, CDC 2012 - Maui, HI, United States Duration: Dec 10 2012 → Dec 13 2012 |
Keywords
- Hamilton-Jacobi-Bellman equation
- Piecewise-deterministic compound Poisson model
- barrier strategy
- quasi-variational inequality
- threshold strategy
ASJC Scopus subject areas
- Control and Systems Engineering
- Modeling and Simulation
- Control and Optimization