Optimality results for dividend problems in insurance

  • Hansjörg Albrecher
  • Stefan Thonhauser


This paper is a survey of some classical contributions and recent progress in identifying optimal dividend payment strategies in the framework of collective risk theory. In particular, available mathematical tools are discussed and some challenges are described that occur under various objective functions and model assumptions. Finally, some open research problems in this field are stated.


Stochastic control dynamic programming Hamilton-Jacobi-Bellman equation risk theory dividends 

Mathematics Subject Classifications

93E20 62P05 91B30 60J25 

Resultados de optimalidad para problemas de dividendos en seguros


Este artículo es una revista de algunos resultados clásicos y avances recientes en la identificación de estrategias óptimas de pago de dividendos en el marco de la teoría de riesgo para modelos colectivos. En particular, describimos las herramientas matemáticas disponibles y discutimos algunos de los retos que se presentan bajo diferentes funciones objetivo y supuestos del modelo. Finalmente, presentamos problemas abiertos de investigación en esta área.


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© Springer 2009

Authors and Affiliations

  • Hansjörg Albrecher
    • 1
  • Stefan Thonhauser
    • 1
  1. 1.Institute of Actuarial Science, Faculty HECUniversity of LausanneLausanneSwitzwrland

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