Discrete time optimal dividend problem with constant premium and exponentially distributed claims
Dariusz Socha
Applicationes Mathematicae, Tome 41 (2014), p. 13-31 / Harvested from The Polish Digital Mathematics Library
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An optimal dividend problem is studied consisting in maximisation of expected discounted dividend payments until ruin time. A solution of this problem for constant premium d and exponentially distributed claims is presented. It is shown that an optimal policy is a barrier policy. Moreover, an analytic way to solve this problem is sketched.

Publié le : 2014-01-01
EUDML-ID : urn:eudml:doc:280086 
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     title = {Discrete time optimal dividend problem with constant premium and exponentially distributed claims},
     journal = {Applicationes Mathematicae},
     volume = {41},
     year = {2014},
     pages = {13-31},
     zbl = {1295.90102},
     language = {en},
     url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am41-1-2}
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Dariusz Socha. Discrete time optimal dividend problem with constant premium and exponentially distributed claims. Applicationes Mathematicae, Tome 41 (2014) pp. 13-31. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am41-1-2/