Optimal Dividend Payment in De Finetti Models: Survey and New Results and Strategies

We consider optimal dividend payment under the constraint that the with-dividend ruin probability does not exceed a given value α. This is done in most simple discrete De Finetti models. We characterize the value function V(s,α) for initial surplus s of this problem, characterize the corresponding optimal dividend strategies, and present an algorithm for its computation. In an earlier solution to this problem, a Hamilton-Jacobi-Bellman equation for V(s,α) can be found which leads to its representation as the limit of a monotone iteration scheme. However, this scheme is too complex for numerical computations. Here, we introduce the class of two-barrier dividend strategies with the following property: when dividends are paid above a barrier B, i.e., a dividend of size 1 is paid when reaching B+1 from B, then we repeat this dividend payment until reaching a limit L for some 0≤L≤B. For these strategies we obtain explicit formulas for ruin probabilities and present values of dividend payments, as well as simplifications of the above iteration scheme. The results of numerical experiments show that the values V(s,α) obtained in earlier work can be improved, they are suboptimal.

EXISTENCE OF MONOTONIC TRAVELING WAVES IN LATTICE DYNAMICAL SYSTEMS

This paper deals with the existence of monotonic traveling and standing wave solutions for a certain class of lattice differential equations. Employing the techniques of monotone iteration coupled with the concept of upper and lower solutions in the theory of monotone dynamical systems, we can classify the monotonic traveling wave solutions with various asymptotic boundary conditions. For the case of zero wave speed, a novel discrete monotone iteration scheme is established for proving the existence of monotonic standing wave solutions. Applications are made to several models including cellular neural networks, original and modified RTD-based cellular neural networks. Numerical simulations of the monotone iteration schemes are also given.