Abstract
In this chapter we show some examples of the optimal value functions and the optimal strategies for the classical risk model. In these examples, the optimal band strategies have one (barrier) or two bands; we have not found examples with more bands in the unbounded dividend payment case. However, when imposing a ceiling on the rate of dividends, band strategies with infinitely many bands can be found (even with claim-size distributions with bounded density); see [12].
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Bibliography
Azcue, P., Muler, N.: Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints. Insur. Math. Econ. 44, 26–34 (2009)
Azcue, P., Muler, N.: Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates. Insur. Math. Econ. 51, 26–42 (2012)
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2014 The Author(s)
About this chapter
Cite this chapter
Azcue, P., Muler, N. (2014). Numerical Examples. In: Stochastic Optimization in Insurance. SpringerBriefs in Quantitative Finance. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-0995-7_6
Download citation
DOI: https://doi.org/10.1007/978-1-4939-0995-7_6
Published:
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4939-0994-0
Online ISBN: 978-1-4939-0995-7
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)