The perturbed Sparre Andersen model with a threshold dividend strategy
Journal of Computational and Applied Mathematics
Optimal dividends in the Brownian motion risk model with interest
Journal of Computational and Applied Mathematics
On the renewal risk model under a threshold strategy
Journal of Computational and Applied Mathematics
On optimal dividends: From reflection to refraction
Journal of Computational and Applied Mathematics - Special issue: Jef Teugels
Optimal dividend strategies in discrete risk model with capital injections
Applied Stochastic Models in Business and Industry
Hi-index | 7.29 |
We consider the discrete Sparre Andersen risk model and its derivative models by anew setting up the initial times, and assume that dividends are paid to the shareholders according to an admissible strategy with dividend rates bounded by a constant. The company controls the amount of dividends in order to maximize the cumulative expected discounted dividends prior to ruin. We show that the optimal value function is the unique bounded solution of a set of discrete Hamilton-Jacobi-Bellman equations. Moreover, we introduce Bellman's recursive algorithm and offer a simpler algorithm to obtain the optimal strategy and the optimal value functions. Our method is mainly to transform the value functions. Numerical examples are presented to illustrate the transformation method.