Games of Economic Survival with Discrete- and Continuous-Income Processes

Hans U. Gerber
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Hans U. Gerber: Swiss Life Insurance and Pension Company, Zurich, Switzerland

Operations Research, 1972, vol. 20, issue 1, 37-45

Abstract: In this model the income process of a firm is assumed to be a homogeneous Markov process (discrete or continuous). One is interested in an optimal dividend strategy, i.e., a strategy that maximizes the expected sum of the discounted dividend payments. This paper derives general results in the case where the income process is skip free to the right; in particular, it establishes the factorization formula and shows it to be closely connected with the probability of ruin. The theory is illustrated by a numerical example.

Date: 1972
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