Optimal Dividends for a Two-Dimensional Risk Model with Simultaneous Ruin of Both Branches

Optimal Dividends for a Two-Dimensional Risk Model with Simultaneous Ruin of Both Branches

We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative. More specific, we solve the stochastic control problem of maximizing discounted dividends until simultaneous ruin of both branches of an...

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Bibliographic Details
Main Authors: Philipp Lukas Strietzel, Henriette Elisabeth Heinrich
Format: Article
Language:English
Published: MDPI AG 2022-06-01
Series:Risks
Subjects:
admissibility
compound Poisson process
degenerate risk model
dividends
dynamic programming principle
Hamilton–Jacobi–Bellman equation
Online Access:https://www.mdpi.com/2227-9091/10/6/116

Internet

https://www.mdpi.com/2227-9091/10/6/116

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