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Discrete time optimal dividend problem with constant premium and exponentially distributed claims

Volume 41 / 2014

Dariusz Socha Applicationes Mathematicae 41 (2014), 13-31 MSC: Primary 90C40; Secondary 90C46. DOI: 10.4064/am41-1-2

Abstract

\looseness 2 An optimal dividend problem is studied consisting in maximisation of expected discounted dividend payments until ruin time. A solution of this problem for constant premium $d$ and exponentially distributed claims is presented. It is shown that an optimal policy is a barrier policy. Moreover, an analytic way to solve this problem is sketched.

Authors

  • Dariusz SochaFaculty of Mathematics and Information Science
    Warsaw University of Technology
    00-662 Warszawa, Poland
    e-mail

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