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- W4300884054 abstract "This paper concerns the dual risk model, dual to the risk model for insurance applications, where premiums are surplus-dependent. In such a model premiums are regarded as costs, while claims refer to profits. We calculate the mean of the cumulative discounted dividends paid until ruin, if the barrier strategy is applied. We formulate associated Hamilton-Jacobi-Bellman equation and identify sufficient conditions for a barrier strategy to be optimal. Some numerical examples are provided when profits have exponential law." @default.
- W4300884054 created "2022-10-04" @default.
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- W4300884054 date "2016-05-15" @default.
- W4300884054 modified "2023-10-01" @default.
- W4300884054 title "On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums" @default.
- W4300884054 doi "https://doi.org/10.48550/arxiv.1605.04584" @default.
- W4300884054 hasPublicationYear "2016" @default.
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