英文标题：
《Optimal dividend payments for a two-dimensional insurance risk process》
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作者：
Pablo Azcue, Nora Muler, Zbigniew Palmowski
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最新提交年份：
2018
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英文摘要：
We consider a two-dimensional optimal dividend problem in the context of two branches of an insurance company with compound Poisson surplus processes dividing claims and premia in some specified proportions. We solve the stochastic control problem of maximizing expected cumulative discounted dividend payments (among all admissible dividend strategies) until ruin of at least one company. We prove that the value function is the smallest viscosity supersolution of the respective Hamilton-Jacobi-Bellman equation and we describe the optimal strategy. We analize some numerical examples.
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中文摘要：
我们考虑了一个二维最优分红问题，在保险公司的两个分支中，复合泊松剩余过程按一定比例分割索赔和保费。我们解决了最大化预期累计贴现股息支付（在所有可接受的股息策略中）直到至少一家公司破产的随机控制问题。我们证明了值函数是相应Hamilton-Jacobi-Bellman方程的最小粘性上解，并描述了最优策略。我们分析了一些数值例子。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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