Optimal dividend problems with a risk probability criterion

DOI10.1002/NAV.22026MaRDI QIDQ6053129zbMATH OpenOpenAlexFDO

Authors Xin Wen, Xianping Guo, Li Xia

Publication date 18 October 2023

Published in Naval Research Logistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/nav.22026

zbMATH Keywords

iteration algorithmMarkov decision processoptimal dividend problemrisk probability criterionstructures of optimal dividend policies

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Actuarial mathematics (91G05)

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Cites work

• A probability criterion for zero-sum stochastic games
• A simple derivation of risk-neutral probability in the binomial option pricing model
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• Evaluation of Performability for Degradable Computer Systems
• Markov decision processes with applications to finance.
• On a class of singular stochastic control problems for reflected diffusions
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS
• Optimal dividend payout model with risk sensitive preferences
• Optimal dividend-payout in random discrete time
• Optimal Dividends
• Optimal expected exponential utility of dividend payments in a Brownian risk model
• Performance analysis for controlled semi-Markov systems with application to maintenance
• Performance-Related Reliability Measures for Computing Systems
• Risk-sensitive dividend problems
• The risk probability criterion for discounted continuous-time Markov decision processes
• The two-step problem of investment portfolio selection from two risk assets via the probability criterion
• Variance minimization of parameterized Markov decision processes

Cited in

(8)

• The dividend problem with a finite horizon
• Optimal dividends and ALM under unhedgeable risk
• An Application of the Forward Integral to an Insider’s Optimal Portfolio with the Dividend
• Asymptotic analysis for optimal dividends in a dual risk model
• Optimal dividend policies with random profitability
• Nonstationary Markov decision processes with risk probability criteria
• Nonstationary nonzero-sum Markov games under a probability criterion
• Finite horizon partially observable semi-Markov decision processes under risk probability criteria

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