Year: 2009
Author: Lili Li, Jinghai Feng, Lixin Song
Communications in Mathematical Research , Vol. 25 (2009), Iss. 2 : pp. 143–158
Abstract
This paper deals with the dividend optimization problem for an insurance company, whose surplus follows a jump-diffusion process. The objective of the company is to maximize the expected total discounted dividends paid out until the time of ruin. Under concavity assumption on the optimal value function, the paper states some general properties and, in particular, smoothness results on the optimal value function, whose analysis mainly relies on viscosity solutions of the associated Hamilton-Jacobi-Bellman (HJB) equations. Based on these properties, the explicit expression of the optimal value function is obtained. And some numerical calculations are presented as the application of the results.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2009-CMR-19301
Communications in Mathematical Research , Vol. 25 (2009), Iss. 2 : pp. 143–158
Published online: 2009-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 16
Keywords: jump-diffusion model dividend payment Hamilton-Jacobi-Bellman equation viscosity solution.