73 citations · 235 across the 20 of their papers we have counts for
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q-fin.CP2011
Numerical Solutions of Optimal Risk Control and Dividend Optimization Policies under A Generalized Singular Control Formulation
Zhuo Jin, George Yin, Chao Zhu
This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff fun…
math.OC2011
On Optimal Harvesting in Stochastic Environments: Optimal Policies in a Relaxed Model
Richard H. Stockbridge, Chao Zhu
This paper examines the objective of optimally harvesting a single species in a stochastic environment. This problem has previously been analyzed in Alvarez (2000) using dynamic pr…
math.OC2011★ 4 cited
Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model
Runhuan Feng, Hans Volkmer, Shuaiqi Zhang +1
This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend pay…