Optimal dividends for a two-dimensional risk model with simultaneous ruin of both branches
Year of publication: |
2022
|
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Authors: | Strietzel, Philipp Lukas ; Heinrich, Henriette Elisabeth |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 10.2022, 6, Art.-No. 116, p. 1-23
|
Subject: | admissibility | compound Poisson process | degenerate risk model | dividends | dynamic programming principle | Hamilton–Jacobi–Bellman equation | optimal strategy | simultaneous ruin | stochastic control | viscosity solution | Dividende | Dividend | Stochastischer Prozess | Stochastic process | Risikomodell | Risk model | Risiko | Risk | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung | Dynamic programming | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Finanzmathematik | Mathematical finance | Kontrolltheorie | Control theory | Versicherungsmathematik | Actuarial mathematics |
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