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math.PR2019
On Optimal Dividend and Investment Strategy under Renewal Risk Models
Lihua Bai, Jin Ma
In this paper we continue investigating the optimal dividend and investment problems under the Sparre Andersen model. More precisely, we assume that the claim frequency is a renewa…
math.PR2016★ 1 cited
Optimal Dividend and Investment Problems under Sparre Andersen Model
Lihua Bai, Jin Ma, Xiaojing Xing
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 freque…