Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates

DOI10.1137/18M119567X;zbMath1427.91290arXiv1806.07499MaRDI QIDQ4971973

Virginia R. Young, Bahman Angoshtari, Erhan Bayraktar

Publication date: 22 November 2019

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.07499

zbMATH Keywords

optimal controlvariational inequalitystochastic controlfree-boundary problemoptimal dividendratchetingdrawdown constraint

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (14)

Optimal consumption with reference to past spending maximum ⋮ Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process ⋮ Optimal Investment and Consumption under a Habit-Formation Constraint ⋮ Optimal Ratcheting of Dividends in a Brownian Risk Model ⋮ Optimisation of drawdowns by generalised reinsurance in the classical risk model ⋮ Optimal consumption and life insurance under shortfall aversion and a drawdown constraint ⋮ Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case ⋮ Optimal dividends under a drawdown constraint and a curious square-root rule ⋮ Optimal Ratcheting of Dividends in Insurance ⋮ Finite horizon portfolio selection problem with a drawdown constraint on consumption ⋮ De Finetti's control problem with a concave bound on the control rate ⋮ Optimal ratcheting of dividend payout under Brownian motion surplus ⋮ Optimal consumption with loss aversion and reference to past spending maximum ⋮ Portfolio selection with drawdown constraint on consumption: a generalization model

Cites Work

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• Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
• Strategies for Dividend Distribution: A Review
• Optimal Dividends
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

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