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

Research.Publish.Connect.

Title:
ISBN:
Year:
Acronym:
Subject:

Advanced Search Proceedings Search

If you're looking for an exact phrase use quotation marks on text fields.

Title:
Author:
Affiliation:
Subject:

Advanced Search Papers Search

If you're looking for an exact phrase use quotation marks on text fields.

Name:
Affiliation:
Country:
Conference:
Subject:

Advanced Search Authors Search

If you're looking for an exact phrase use quotation marks on text fields.

Name:
Country:
Subject:

Advanced Search Affiliations Search

If you're looking for an exact phrase use quotation marks on text fields.

Proceedings

Proceedings Search

Title:
ISBN:
Year:
Acronym:
Subject:

Advanced Search Proceedings Search

If you're looking for an exact phrase use quotation marks on text fields.

Papers

Papers Search

Title:
Author:
Affiliation:
Subject:

Advanced Search Papers Search

If you're looking for an exact phrase use quotation marks on text fields.

Authors

Authors Search

Name:
Affiliation:
Country:
Conference:
Subject:

Advanced Search Authors Search

If you're looking for an exact phrase use quotation marks on text fields.

Advanced Search

Paper

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

Topics: Dynamic Programming

In Proceedings of the 6th International Conference on Operations Research and Enterprise Systems - ICORES, 140-149, 2017 , Porto, Portugal

Authors: Raúl Montes-de-Oca ¹ ; Patricia Saavedra ¹ ; Gabriel Zacarías-Espinoza ¹ and Daniel Cruz-Suárez ²

Affiliations: ¹ Universidad Autónoma Metropolitana-Iztapalapa, Mexico ; ² Universidad Juárez Autónoma de Tabasco, Mexico

Keyword(s): Reserve Processes, Discounted Markov Decision Processes, Ruin Probability, Optimal Premiums, Dividends.

Related Ontology Subjects/Areas/Topics: Dynamic Programming ; Methodologies and Technologies ; Operational Research

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.

CC BY-NC-ND 4.0

Guest: Register as new SciTePress user now for free.

SciTePress user: please login.

My Papers

You are not signed in, therefore limits apply to your IP address 44.192.25.113

In the current month:

Recent papers: 100 available of 100 total

2⁺ years older papers: 200 available of 200 total

Paper citation in several formats:

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 - ICORES, ISBN 978-989-758-218-9; ISSN 2184-4372, pages 140-149. DOI: 10.5220/0006193701400149

@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 - ICORES,},
year={2017},
pages={140-149},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0006193701400149},
isbn={978-989-758-218-9},
issn={2184-4372},
}

TY - CONF

JO - Proceedings of the 6th International Conference on Operations Research and Enterprise Systems - ICORES,
TI - Optimal Policies for Payment of Dividends through a Fixed Barrier at Discrete Time
SN - 978-989-758-218-9
IS - 2184-4372
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