Optimal dividend strategies for a risk process under force of interest

DOI10.1016/J.INSMATHECO.2008.03.012zbMath1140.91371OpenAlexW2078603552MaRDI QIDQ938046

Stefan Thonhauser, Hansjoerg Albrecher

Publication date: 18 August 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.03.012

Mathematics Subject Classification ID

Related Items (29)

Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest ⋮ Optimal dividend-penalty strategies for insurance risk models with surplus-dependent premiums ⋮ Optimal dividend strategy under Parisian ruin with affine penalty ⋮ Worst-case-optimal dynamic reinsurance for large claims ⋮ Barrier present value maximization for a diffusion model of insurance surplus ⋮ Optimal dividend policies for piecewise-deterministic compound Poisson risk models ⋮ Parisian ruin probability with a lower ultimate bankrupt barrier ⋮ Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching ⋮ Optimal dividend policies with transaction costs for a class of jump-diffusion processes ⋮ Optimal singular dividend control with capital injection and affine penalty payment at ruin ⋮ Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs ⋮ On optimality of the barrier strategy for a general Lévy risk process ⋮ Optimal dividend and investment problems under Sparre Andersen model ⋮ Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes ⋮ Optimality of the threshold dividend strategy for the compound Poisson model ⋮ SHAREHOLDER RISK MEASURES ⋮ Optimal dividend of compound Poisson process under a stochastic interest rate ⋮ Dividend problem with Parisian delay for a spectrally negative Lévy risk process ⋮ Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest ⋮ Complete monotonicity of the probability of ruin and de Finetti's dividend problem ⋮ Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach ⋮ Optimal dividends with an affine penalty ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure ⋮ Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments ⋮ Optimal dividend control for a generalized risk model with investment incomes and debit interest ⋮ Optimal control with restrictions for a diffusion risk model under constant interest force ⋮ Optimal dividend strategy for the dual model with surplus-dependent expense ⋮ On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function ⋮ Strategies for Dividend Distribution: A Review

Cites Work

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• Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
• Ruin theory with stochastic return on investments
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