Optimal Dividends

DOI10.1080/10920277.2004.10596125zbMath1085.62122MaRDI QIDQ5715949

Publication date: 6 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2004.10596125

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

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

Related Items

Perturbed MAP Risk Models with Dividend Barrier Strategies, Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities, Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs, Distribution of the Present Value of Dividend Payments in a Lévy Risk Model, On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier, “Pricing Lookback Options and Dynamic Guarantees,” Hans U. Gerber and Elias S. W. Shiu, January 2003, Optimal Investment for an Insurer to Minimize Its Probability of Ruin, Dividends and reinsurance under a penalty for ruin, Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs, Optimal dividend strategies in the diffusion model with stochastic return on investments, Asymptotically optimal dividend policy for regime-switching compound Poisson models, Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy, On optimality of the barrier strategy for the classical risk model with interest, The perturbed compound Poisson risk model with linear dividend barrier, The optimal dividend barrier in the gamma-omega model, Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs, Optimality of the threshold dividend strategy for the compound Poisson model, Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process, The compound Poisson risk model with dependence under a multi-layer dividend strategy, On barrier strategy dividends with Parisian implementation delay for classical surplus processes, Expected present value of total dividends in a delayed claims risk model under stochastic interest rates, Asymptotic analysis of a risk process with high dividend barrier, Pricing maturity guarantee with dynamic withdrawal benefit, Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach, Optimal investment for insurer with jump-diffusion risk process, On a perturbed Sparre Andersen risk model with multi-layer dividend strategy, A note on the perturbed compound Poisson risk model with a threshold dividend strategy, The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy, The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier, Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion, Methods for estimating the optimal dividend barrier and the probability of ruin, Ruin theory for a Markov regime-switching model under a threshold dividend strategy, The perturbed Sparre Andersen model with a threshold dividend strategy, On the time value of absolute ruin for a multi-layer compound Poisson model under interest force, On a risk model with debit interest and dividend payments, Stochastic optimization algorithms for barrier dividend strategies, On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes, Moments of the first passage time of one-dimensional diffusion with two-sided barriers, A unified treatment of dividend payment problems under fixed cost and implementation delays, Examples of optimal prediction in the infinite horizon case, Optimal dividends with incomplete information in the dual model, Optimal dividends in the dual model, Optimal payout policy in presence of downside risk, On the renewal risk model under a threshold strategy, The dividend function in the jump-diffusion dual model with barrier dividend strategy, Spectral decomposition of optimal asset-liability management, An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models, Classical and singular stochastic control for the optimal dividend policy when there is regime switching, Lévy risk model with two-sided jumps and a barrier dividend strategy, On the optimal dividend problem for a spectrally negative Lévy process, Optimal proportional reinsurance for controlled risk process which is perturbed by diffusions, Optimizing venture capital investments in a jump diffusion model, Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier, The perturbed compound Poisson risk model with multi-layer dividend strategy, On optimal dividends: from reflection to refraction, On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times, Occupation Times for Markov-Modulated Brownian Motion, Impulse Stochastic Control for the Optimization of the Dividend Payments of the Compound Poisson Risk Model Perturbed by Diffusion, Excess capital, operational disaster risk, and capital requirements for banks, De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process, On a Classical Risk Model with a Constant Dividend Barrier, The compound Poisson process perturbed by a diffusion with a threshold dividend strategy, Dividend payments in the classical risk model under absolute ruin with debit interest, The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion, The expectation of aggregate discounted dividends for a Sparre Anderson risk process perturbed by diffusion, A Lévy Insurance Risk Process with Tax, Upper bound for ruin probabilities under optimal investment and proportional reinsurance, OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS, Optimal expected exponential utility of dividend payments in a Brownian risk model

Cites Work