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- W596654820 abstract "We consider the classical optimal dividends problem under the Cram'er-Lundberg model with exponential claim sizes subject to a constraint on the time of ruin. We introduce the dual problem and show that the complementary slackness conditions are satisfied, thus there is no duality gap. Therefore the optimal value function can be obtained as the point-wise infimum of auxiliary value functions indexed by Lagrange multipliers. We also present a series of numerical examples." @default.
- W596654820 created "2016-06-24" @default.
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- W596654820 date "2015-11-01" @default.
- W596654820 modified "2023-09-26" @default.
- W596654820 title "Optimal dividend payments under a time of ruin constraint: Exponential claims" @default.
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- W596654820 doi "https://doi.org/10.1016/j.insmatheco.2015.09.010" @default.
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