an:05663436
Zbl 1187.93138
Albrecher, Hansj??rg; Thonhauser, Stefan
Optimality results for dividend problems in insurance
EN
RACSAM, Rev. R. Acad. Cienc. Exactas F??s. Nat., Ser. A Mat. 103, No. 2, 295-320 (2009).
00256883
2009
j
93E20 62P05 91B30 60J25
stochastic control; dynamic programming; Hamilton-Jacobi-Bellman equation; risk theory; dividends
Summary: This paper is a survey of some classical contributions and recent progress in identifying optimal dividend payment strategies in the framework of collective risk theory. In particular, available mathematical tools are discussed and some challenges are described that occur under various objective functions and model assumptions. Finally, some open research problems in this field are stated.