6 problems

Consider the Brownian diffusion risk model with a dividend-rate control that cannot be decreased over time. A curve strategy is a strategy whose curve divides the state space into…

Let $\overline{\zeta}$ be the solution of the differential equation referred to as (Ecuacion diferencial de z0), with the boundary condition referred to as (Condicion de Optimo en…

Conjecture on optimal periodic strategies. An optimal periodic strategy will be of the form $(b_u,b_l)$. This conjecture is motivated by the form of optimal strategies in earlier w…

Ruin-between-observations conjecture. This difference is due to the chance of jumping to ruin between Poisson observation times, which can be made negligible in the absence of down…

Consider dividend strategies with several payout layers, where each layer has a maximum payout rate and transaction costs associated with its payments. Multilayer strategy conjectu…

Let $Y$ be the surplus process and let $S$ and $A$ denote, respectively, cumulative lump-sum dividend payments and cumulative absolutely continuous dividend payments. For levels…