On the dividends of the risk model with Markovian barrier

Qingbin Meng; Junna Bi

doi:10.1080/03610926.2018.1563175

On the dividends of the risk model with Markovian barrier

Qingbin Meng
, Junna Bi^*

^*Corresponding author for this work

School of Statistics

Renmin University of China

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

In this article, we study the optimal dividend problem for insurance company. The asset of the company is driven by a diffusion process and the dividend barrier follows a Markov process. Using the stochastic optimal control theory, the explicit expressions for the discounted expectation of the aggregate dividends is derived. Finally, numerical example is given to illustrate our results.

Original language	English
Pages (from-to)	1272-1280
Number of pages	9
Journal	Communications in Statistics - Theory and Methods
Volume	49
Issue number	5
DOIs	https://doi.org/10.1080/03610926.2018.1563175
State	Published - 3 Mar 2020

Keywords

62P05
91B30
Markov process
Proportional dividend
diffusion process
numerical example

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10.1080/03610926.2018.1563175

Cite this

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title = "On the dividends of the risk model with Markovian barrier",

abstract = "In this article, we study the optimal dividend problem for insurance company. The asset of the company is driven by a diffusion process and the dividend barrier follows a Markov process. Using the stochastic optimal control theory, the explicit expressions for the discounted expectation of the aggregate dividends is derived. Finally, numerical example is given to illustrate our results.",

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year = "2020",

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AB - In this article, we study the optimal dividend problem for insurance company. The asset of the company is driven by a diffusion process and the dividend barrier follows a Markov process. Using the stochastic optimal control theory, the explicit expressions for the discounted expectation of the aggregate dividends is derived. Finally, numerical example is given to illustrate our results.

KW - 62P05

KW - 91B30

KW - Markov process

KW - Proportional dividend

KW - diffusion process

KW - numerical example

UR - https://www.scopus.com/pages/publications/85061243813

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DO - 10.1080/03610926.2018.1563175

M3 - 文章

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EP - 1280

JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

IS - 5

ER -

On the dividends of the risk model with Markovian barrier

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Keywords

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