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Persistent link: https://www.econbiz.de/10001287433
In this note we study the problem of company values with a ruin constraint in classical continuous time Lundberg models. For this, we adapt the methods and results for discrete de Finetti models to time and state continuous Lundberg models. The policy improvement method works also in continuous...
Persistent link: https://www.econbiz.de/10011890686
Optimal dividend payment under a ruin constraint is a two objective control problem which-in simple models-can be solved numerically by three essentially different methods. One is based on a modified Bellman equation and the policy improvement method (see Hipp (2003)). In this paper we use...
Persistent link: https://www.econbiz.de/10011811530
We consider optimal dividend payment under the constraint that the with-dividend ruin probability does not exceed a given value α. This is done in most simple discrete De Finetti models. We characterize the value function V(s,α) for initial surplus s of this problem, characterize the...
Persistent link: https://www.econbiz.de/10012293314
We consider a risk process modeled as a compound Poisson process. We find the optimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton-Jacobi-Bellman equation as well as a...
Persistent link: https://www.econbiz.de/10012921010