Optimal Policies for Payment of Dividends through a Fixed Barrier at Discrete Time

Raúl Montes-de-Oca, Patricia Saavedra, Gabriel Zacarías-Espinoza, Daniel Cruz-Suárez

Abstract

In this paper a discrete-time reserve process with a fixed barrier is presented and modelled as a discounted Markov Decision Process. The non-payment of dividends is penalized. The minimization of this penalty results in an optimal control problem. This work focuses on determining the sequence of premiums that minimize penalty costs, and obtaining a rate for the probability of ruin to ensure a sustainable reserve operation.

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Paper Citation


in Harvard Style

Montes-de-Oca R., Saavedra P., Zacarías-Espinoza G. and Cruz-Suárez D. (2017). Optimal Policies for Payment of Dividends through a Fixed Barrier at Discrete Time . In Proceedings of the 6th International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES, ISBN 978-989-758-218-9, pages 140-149. DOI: 10.5220/0006193701400149


in Bibtex Style

@conference{icores17,
author={Raúl Montes-de-Oca and Patricia Saavedra and Gabriel Zacarías-Espinoza and Daniel Cruz-Suárez},
title={Optimal Policies for Payment of Dividends through a Fixed Barrier at Discrete Time},
booktitle={Proceedings of the 6th International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES,},
year={2017},
pages={140-149},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0006193701400149},
isbn={978-989-758-218-9},
}


in EndNote Style

TY - CONF
JO - Proceedings of the 6th International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES,
TI - Optimal Policies for Payment of Dividends through a Fixed Barrier at Discrete Time
SN - 978-989-758-218-9
AU - Montes-de-Oca R.
AU - Saavedra P.
AU - Zacarías-Espinoza G.
AU - Cruz-Suárez D.
PY - 2017
SP - 140
EP - 149
DO - 10.5220/0006193701400149