Maximizing Dividends without Bankruptcy

DOI10.2143/AST.36.1.2014143zbMath1162.91375OpenAlexW4235089132MaRDI QIDQ3632860

Hans U. Gerber, Elias S. W. Shiu, Nathaniel J. Smith

Publication date: 15 June 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.36.1.2014143

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Related Items (24)

Discounted dividends in a strategy with a step barrier function ⋮ A Markov decision problem in a risk model with interest rate and Markovian environment ⋮ Some results behind dividend problems ⋮ Semiparametric estimation in the optimal dividend barrier for the classical risk model ⋮ VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK ⋮ Optimal dividend and capital injection strategies in the Cramér-Lundberg risk model ⋮ First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits ⋮ Dividends and reinsurance under a penalty for ruin ⋮ Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs ⋮ De Finetti's optimal dividends problem with an affine penalty function at ruin ⋮ Asymptotic analysis of a risk process with high dividend barrier ⋮ Stochastic optimization algorithms for barrier dividend strategies ⋮ Stochastic optimal control of risk processes with Lipschitz payoff functions ⋮ Valuing equity-linked death benefits in jump diffusion models ⋮ On a risk model with surplus-dependent premium and tax rates ⋮ Dividend optimization under the gamma-distribution of claims ⋮ Review of statistical actuarial risk modelling ⋮ Optimal Control and Sensitivity Analysis for Two Risk Models ⋮ Optimal dividends with an affine penalty ⋮ Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments ⋮ On a doubly reflected risk process with running maximum dependent reflecting barriers ⋮ Moments of Discounted Dividends for a Threshold Strategy in the Compound Poisson Risk Model ⋮ Optimal control problem for an insurance surplus model with debt liability ⋮ Strategies for Dividend Distribution: A Review

Cites Work

• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
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