Work

Optimal dividend payments for a two-dimensional insurance risk process

Year: 2018

Type: article

Abstract: We consider a two-dimensional optimal dividend problem in the context of two branches of an insurance company with compound Poisson surplus processes dividing claims and premiums in some specified proportions. We solve the stochastic control problem of maximizing expected cumulative discounted dividend payments (among all admissible dividend strategies) until ruin of at least one branch. We prove that the value function is the smallest viscosity supersolution of the respective Hamilton–Jacobi–Bellman equation and we describe the optimal strategy. We analyze some numerical examples.

Source: European Actuarial Journal

DOI: 10.1007/s13385-018-0182-6

Authors: Pablo Azcue, Nora Muler, Zbigniew Palmowski

Institutions: Universidad Torcuato Di Tella, Wrocław University of Science and Technology

Language: English

Topic: Probability and Risk Models

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,290

Funders: Narodowe Centrum Nauki, FP7 People: Marie-Curie Actions