An optimal dividend strategy in the discrete Sparre Andersen model with bounded dividend rates

作者：

Highlights：

• The optimal dividend-payment problem in discrete models has its own special significance.

• The bounded solution of an infinite set of discrete HJB equations is considered.

• Special transforms of value functions and Bellman’s recursive algorithm are applied.

摘要

•The optimal dividend-payment problem in discrete models has its own special significance.•The bounded solution of an infinite set of discrete HJB equations is considered.•Special transforms of value functions and Bellman’s recursive algorithm are applied.

论文关键词：Control,Sparre Andersen risk model,Optimal dividend strategy,Fixed point theory,Transformation

论文评审过程：Received 4 October 2012, Revised 30 July 2013, Available online 3 September 2013.

论文官网地址：https://doi.org/10.1016/j.cam.2013.08.029