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A dividend optimization problem with constraint of survival probability in a Markovian environment model.
- Source :
-
Communications in Statistics: Theory & Methods . 2021, Vol. 50 Issue 15, p3522-3546. 25p. - Publication Year :
- 2021
-
Abstract
- In this paper, the optimal dividend problem in a discrete-time risk model with interest is discussed. Assume that the premium received per unit time is a positive real-valued random variable, and the sequence of premiums is a Markov chain owing to the environmental effects. In arbitrary unit time whether a claim occurs or not is related to the premium received in the corresponding period. Under the constraint of a given survival probability, the optimal control strategy for dividends paid periodically to the shareholders is considered. We provide some properties and an algorithm for the optimal control strategy by structuring a non-linear operator and applying the fixed point theorem. Numerical examples are presented to illustrate the algorithm. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03610926
- Volume :
- 50
- Issue :
- 15
- Database :
- Academic Search Index
- Journal :
- Communications in Statistics: Theory & Methods
- Publication Type :
- Academic Journal
- Accession number :
- 151304188
- Full Text :
- https://doi.org/10.1080/03610926.2019.1705981