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Optimal dividend and investment problems under Sparre Andersen model. (English) Zbl 1408.91098

Summary: In this paper, we study a class of optimal dividend and investment problems assuming that the underlying reserve process follows the Sparre Andersen model, that is, the claim frequency is a “renewal” process, rather than a standard compound Poisson process. The main feature of such problems is that the underlying reserve dynamics, even in its simplest form, is no longer Markovian. By using the backward Markovization technique, we recast the problem in a Markovian framework with expanded dimension representing the time elapsed after the last claim, with which we investigate the regularity of the value function, and validate the dynamic programming principle. Furthermore, we show that the value function is the unique constrained viscosity solution to the associated HJB equation on a cylindrical domain on which the problem is well defined.

MSC:

91B30 Risk theory, insurance (MSC2010)
93E20 Optimal stochastic control
60K10 Applications of renewal theory (reliability, demand theory, etc.)
90C39 Dynamic programming
49L25 Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

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