Optimal financing and dividend control in the dual model

DOI10.1016/J.MCM.2011.01.019zbMath1219.91158OpenAlexW2076441178MaRDI QIDQ636479

Hongshuai Dai, Zai-Ming Liu

Publication date: 28 August 2011

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.01.019

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdual modeloptimal dividend controloptimal financing control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (6)

Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate ⋮ Optimal financing and dividend policy with Markovian switching regimes ⋮ Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates ⋮ Optimal dividend problem with a terminal value for spectrally positive Lévy processes ⋮ ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS ⋮ Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs

Cites Work

• Unnamed Item
• Optimal dividend and issuance of equity policies in the presence of proportional costs
• Optimal financing and dividend control of the insurance company with proportional reinsurance policy
• Optimal dividends in the dual model
• Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
• Reflexion discontinue et systèmes stochastiques
• Optimal risk and dividend distribution control models for an insurance company
• Optimizing venture capital investments in a jump diffusion model
• Controlled Markov processes and viscosity solutions
• Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
• Instantaneous Control of Brownian Motion
• Optimal Financing of a Corporation Subject To Random Returns
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• Applied stochastic control of jump diffusions

This page was built for publication: Optimal financing and dividend control in the dual model