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Games of Economic Survival with Discrete- and Continuous-Income Processes

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  • Hans U. Gerber

    (Swiss Life Insurance and Pension Company, Zurich, Switzerland)

Abstract

In this model the income process of a firm is assumed to be a homogeneous Markov process (discrete or continuous). One is interested in an optimal dividend strategy, i.e., a strategy that maximizes the expected sum of the discounted dividend payments. This paper derives general results in the case where the income process is skip free to the right; in particular, it establishes the factorization formula and shows it to be closely connected with the probability of ruin. The theory is illustrated by a numerical example.

Suggested Citation

  • Hans U. Gerber, 1972. "Games of Economic Survival with Discrete- and Continuous-Income Processes," Operations Research, INFORMS, vol. 20(1), pages 37-45, February.
    • Handle: RePEc:inm:oropre:v:20:y:1972:i:1:p:37-45
    DOI: 10.1287/opre.20.1.37
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