A dividend optimization problem with constraint of survival probability in a Markovian environment model

Jiyang Tan and Senlin Yuan

Communications in Statistics - Theory and Methods, 2021, vol. 50, issue 15, 3522-3546

Abstract: In this paper, the optimal dividend problem in a discrete-time risk model with interest is discussed. Assume that the premium received per unit time is a positive real-valued random variable, and the sequence of premiums is a Markov chain owing to the environmental effects. In arbitrary unit time whether a claim occurs or not is related to the premium received in the corresponding period. Under the constraint of a given survival probability, the optimal control strategy for dividends paid periodically to the shareholders is considered. We provide some properties and an algorithm for the optimal control strategy by structuring a non-linear operator and applying the fixed point theorem. Numerical examples are presented to illustrate the algorithm.

Date: 2021
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DOI: 10.1080/03610926.2019.1705981

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