OPTIMAL DIVIDEND AND INVESTMENT PROBLEMS UNDER SPARRE ANDERSEN MODEL

• 成果类型: Article
• 署名作者: Bai, Lihua; Ma, Jin; Xing, Xiaojing
• 署名单位: Nankai University; University of Southern California
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/17-AAP1288
• 发表日期: 2017
• 页码: 3588-3632
• 关键词: partial-differential-equations; VISCOSITY SOLUTIONS; transaction costs; diffusion-processes; insurance company; risk process; policies; reinsurance; strategies; payments

摘要

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.