Optimal dividend strategies in a Cramér-Lundberg model with capital injections

From MaRDI portal
Revision as of 20:42, 30 January 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:974817

DOI10.1016/j.insmatheco.2008.05.013zbMath1189.91075OpenAlexW1983448988MaRDI QIDQ974817

Natalie Kulenko, Hanspeter Schmidli

Publication date: 8 June 2010

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.05.013




Related Items

Parisian excursion with capital injection for drawdown reflected Lévy insurance risk processOptimal dividend policy in an insurance company with contagious arrivals of claimsNumerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injectionsThe moments of the discounted loss and the discounted dividends for a spectrally negative Lévy risk processOn capital injections and dividends with tax in a classical risk modelOn a class of singular stochastic control problems for reflected diffusionsOptimal control of capital injections by reinsurance in a diffusion approximationFiscal stimulus as an optimal control problemOptimal Threshold Dividend Strategies under the Compound Poisson Model with Regime SwitchingLinearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspectsAN OPTIMAL DIVIDEND POLICY WITH DELAYED CAPITAL INJECTIONSA stochastic model for the optimal allocation of hydropower flexibility in renewable energy marketsPORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTSOptimal dividend and capital injection strategies in the Cramér-Lundberg risk modelOptimal control for a linear system subject to a general ARIMA disturbanceDividends and capital injections in a renewal model with Erlang distributed inter-arrival timesA perturbation approach to optimal investment, liability ratio, and dividend strategiesAsymptotically optimal dividend policy for regime-switching compound Poisson modelsOn capital injections and dividends with tax in a diffusion approximationOptimal dividends and reinsurance with capital injection under thinning dependenceComplete discounted cash flow valuationStationary distribution of the surplus in a risk model with dividends and reinvestmentsOn optimal dividends with penalty payments in the Cramér-Lundberg modelOn a time-changed Lévy risk model with capital injections and periodic observationTime-inconsistent view on a dividend problem with penaltyOptimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferencesDividends and reinsurance under a penalty for ruinOptimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg processMoments of the ruin time in a Lévy risk modelOptimal dividend and capital injection problem in the dual model with proportional and fixed transaction costsA scale function based approach for solving integral-differential equations in insurance risk modelsOn the ruin probabilities in a discrete time insurance risk process with capital injections and reinsuranceOptimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costsOptimal dividend and capital injection strategy with fixed costs and restricted dividend rate for a dual modelOptimal capital injections and dividends with tax in a risk model in discrete timeOptimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principleOptimal dividend and capital injection strategy with excess-of-loss reinsurance and transaction costsOptimal dividends and capital injection under dividend restrictionsOptimal dividend and equity issuance problem with proportional and fixed transaction costsDe Finetti's optimal dividends problem with an affine penalty function at ruinOptimal dividend strategy in compound binomial model with bounded dividend ratesOptimal debt ratio and dividend payment strategies with reinsuranceOptimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power UtilityOn optimal dividends with exponential and linear penalty paymentsDelayed capital injections for a risk process with Markovian arrivalsThe optimal dividend payout model with terminal values and its applicationA numerical approach to optimal dividend policies with capital injections and transaction costsAn optimal dividend strategy in the discrete Sparre Andersen model with bounded dividend ratesSingular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interestOptimal dividend and dynamic reinsurance strategies with capital injections and proportional costsOn the time to ruin for a dependent delayed capital injection risk modelON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONSDividends with tax and capital injection in a spectrally negative Lévy risk modelOptimal dividend strategies in a dual model with capital injectionsOptimal Reinsurance and Dividend Strategies Under the Markov-Modulated Insurance Risk ModelOptimal asset control of a geometric Brownian motion with the transaction costs and bankruptcy permissionUnnamed ItemPower identities for L\'evy risk models under taxation and capital injectionsOptimal dividend and equity issuance in the perturbed dual model under a penalty for ruinAsymptotic behavior of the processes describing some insurance modelsOptimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcyOptimal Control and Sensitivity Analysis for Two Risk ModelsOn a dividend problem with random fundingOptimal threshold strategies with capital injections in a spectrally negative Lévy risk modelHarvesting of interacting stochastic populationsAn Optimal Dividend Problem with Capital Injections over a Finite HorizonOn the central management of risk networksOptimal dividend strategies for two collaborating insurance companiesOptimal dividends with an affine penaltyStochastic optimal control on dividend policies with bankruptcyOptimal dividend strategy with transaction costs for an upward jump modelOptimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend paymentsA Free Boundary Problem of Liquidity Management for Optimal Dividend and Insurance in Finite HorizonOptimal dividend strategies in discrete risk model with capital injectionsOptimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costsOn a doubly reflected risk process with running maximum dependent reflecting barriersMinimising expected discounted capital injections by reinsurance in a classical risk modelOptimal dividend control for a generalized risk model with investment incomes and debit interestOptimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costsOptimal control problem for an insurance surplus model with debt liabilityOn Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty functionOptimal dividend-equity issuance strategy in a dual model with fixed and proportional transaction costsStrategies for Dividend Distribution: A ReviewOptimal dividend and proportional reinsurance strategy under standard deviation premium principle



Cites Work