Maximizing Dividends without Bankruptcy

DOI10.2143/AST.36.1.2014143MaRDI QIDQ3632860zbMATH OpenOpenAlexFDO

Authors H. U. Gerber, E. 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)

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Cites work

• scientific article; zbMATH DE number 2130681 (Why is no real title available?)
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL

Cited in

(30)

• Optimal dividend and capital injection strategies in the Cramér-Lundberg risk model
• Valuing equity-linked death benefits in jump diffusion models
• On a doubly reflected risk process with running maximum dependent reflecting barriers
• Stochastic optimal control of risk processes with Lipschitz payoff functions
• On a risk model with surplus-dependent premium and tax rates
• Optimal dividends with an affine penalty
• Discounted dividends in a strategy with a step barrier function
• Dividend optimization under the gamma-distribution of claims
• A Markov decision problem in a risk model with interest rate and Markovian environment
• First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
• Optimal control and sensitivity analysis for two risk models
• Optimal control problem for an insurance surplus model with debt liability
• Maximizing dividends without bankruptcy in the case where the individual claims sizes are distributed as a mixture of shifted exponential distributions
• Optimal dividend strategy under the risk model with stochastic premium
• Optimization of a dividend strategy of an insurance company continuing its work after the ruin
• Dividends and reinsurance under a penalty for ruin
• Semiparametric estimation in the optimal dividend barrier for the classical risk model
• Valuing equity-linked death benefits in a regime-switching framework
• Review of statistical actuarial risk modelling
• Moments of discounted dividends for a threshold strategy in the compound Poisson risk model
• Strategies for dividend distribution: a review
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs
• Dividends in finite time horizon
• De Finetti's optimal dividends problem with an affine penalty function at ruin
• Asymptotic analysis of a risk process with high dividend barrier
• Title not available (Why is no real title available?)
• Title not available (Why is no real title available?)
• Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
• Some results behind dividend problems
• Stochastic optimization algorithms for barrier dividend strategies

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