Geodesic
Discrete time optimal dividend problem with constant premium and exponentially distributed claims
Dariusz Socha1
1 Faculty of Mathematics and Information Science Warsaw University of Technology 00-662 Warszawa, Poland
Applicationes Mathematicae, Tome 41 (2014) no. 1, pp. 13-31 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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\looseness 2 An optimal dividend problem is studied consisting in maximisation of expected discounted dividend payments until ruin time. A solution of this problem for constant premium $d$ and exponentially distributed claims is presented. It is shown that an optimal policy is a barrier policy. Moreover, an analytic way to solve this problem is sketched.
DOI : 10.4064/am41-1-2
Keywords: looseness optimal dividend problem studied consisting maximisation expected discounted dividend payments until ruin time solution problem constant premium exponentially distributed claims presented shown optimal policy barrier policy moreover analytic solve problem sketched

Dariusz Socha 1

1 Faculty of Mathematics and Information Science Warsaw University of Technology 00-662 Warszawa, Poland 
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Dariusz Socha. Discrete time optimal dividend problem with
 constant premium and exponentially distributed claims. Applicationes Mathematicae, Tome 41 (2014) no. 1, pp. 13-31. doi: 10.4064/am41-1-2

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