An Optimal Control Problem in a Risk Model with Stochastic Premiums and Periodic Dividend Payments

Xixi Yang (), Jiyang Tan, Hanjun Zhang () and Ziqiang Li ()
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Xixi Yang: School of Mathematics and Computational Science, Xiangtan University, Xiangtan 411105, P. R. China
Jiyang Tan: School of Mathematics and Computational Science, Xiangtan University, Xiangtan 411105, P. R. China
Hanjun Zhang: School of Mathematics and Computational Science, Xiangtan University, Xiangtan 411105, P. R. China
Ziqiang Li: School of Information Engineering, Xiangtan University, Xiangtan 411105, P. R. China

Asia-Pacific Journal of Operational Research (APJOR), 2017, vol. 34, issue 03, 1-18

Abstract: In this paper, a discrete-time risk model is considered. We assume that the premium received in each time interval is a positive real-valued random variable, and the sequence of premiums is a Markov chain. In any time interval the probability of a claim occurrence is related to the premium received in the corresponding period. We discuss control strategies for dividends paid periodically to the shareholders under two cases: absence and presence of ceiling restriction for dividend rates. We provide algorithms and some properties for the optimal control strategies by transforming the value function.

Keywords: Optimal control strategy; stochastic premium; periodic dividend; transformation (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1142/S0217595917400139

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