Optimal risk and dividend control for a company with a debt liability

DOI10.1016/S0167-6687(98)00012-2zbMath0907.90101WikidataQ126789252 ScholiaQ126789252MaRDI QIDQ1265921

K. Appert

Publication date: 1998

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsreinsuranceoptimal dividend policystochastic regular-singular control

Mathematics Subject Classification ID

Related Items (45)

Free boundary problem for a fully nonlinear and degenerate parabolic equation in an angular domain ⋮ OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR ⋮ Robust stochastic maximum principle for multi-model worst case optimization ⋮ Fiscal stimulus as an optimal control problem ⋮ Optimal proportional reinsurance and dividend payments with transaction costs and internal competition ⋮ Optimal Financing of a Corporation Subject To Random Returns ⋮ Optimal impulse and regular control strategies for proportional reinsurance problem ⋮ OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE ⋮ Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy ⋮ A Free Boundary Problem Arising from a Stochastic Optimal Control Model with Bounded Dividend Rate ⋮ Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE ⋮ A perturbation approach to optimal investment, liability ratio, and dividend strategies ⋮ Suboptimal stochastic linear feedback control of linear systems with state- and control-dependent noise: The incomplete information case ⋮ Optimal risk control and dividend distribution policies for a diffusion model with terminal value ⋮ A fully nonlinear free boundary problem for minimizing the ruin probability ⋮ Dividends and reinsurance under a penalty for ruin ⋮ Optimal control of a big financial company with debt liability under bankrupt probability constraints ⋮ A free boundary problem arising from a stochastic optimal control model under controllable risk ⋮ Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy ⋮ Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps ⋮ EQUILIBRIUM EQUITY PRICE WITH OPTIMAL DIVIDEND POLICY ⋮ Optimal dividend problem with a nonlinear regular-singular stochastic control ⋮ Optimal dividends with debts and nonlinear insurance risk processes ⋮ Optimal dividend and equity issuance problem with proportional and fixed transaction costs ⋮ The optimal policy for insurance company under consideration of internal competition and the time value of ruin ⋮ Optimal premium policy of an insurance firm: full and partial information ⋮ Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model ⋮ Optimal risk exposure and dividend payout policies under model uncertainty ⋮ Optimal proportional reinsurance model with transaction costs ⋮ A diffusion model for optimal dividend payment and risk control for a firm under consideration of the time value of ruin ⋮ The optimal dividend payout model with terminal values and its application ⋮ Derivatives trading for insurers ⋮ Interplay between dividend rate and business constraints for a financial corporation ⋮ FINANCIALLY OPTIMAL INVENTORY POLICIES WITH NON-LINEAR REPLENISHMENT COSTS ⋮ Classical and singular stochastic control for the optimal dividend policy when there is regime switching ⋮ A fully nonlinear free boundary problem arising from optimal dividend and risk control model ⋮ Optimal size of business and dividend strategy in a nonlinear model with refinancing and liquidation value ⋮ STOCHASTIC APPROACH TO DIVIDEND EQUALIZATION FUND MODELLING AND SOLVENCY ⋮ CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM ⋮ Stochastic optimal control on dividend policies with bankruptcy ⋮ A constrained non-linear regular-singular stochastic control problem, with applications. ⋮ Business planning for a profit-seeking insurer under deficiency of information ⋮ Optimal control problem for an insurance surplus model with debt liability ⋮ Strategies for Dividend Distribution: A Review ⋮ Optimal dividend and proportional reinsurance strategy under standard deviation premium principle

Cites Work

• Asymptotic expansions for Markov processes with Lévy generators
• Controlled diffusion models for optimal dividend pay-out
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Stochastic differential equations with reflecting boundary conditions
• Optimal proportional reinsurance policies for diffusion models
• Optimization of the flow of dividends
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Optimal risk and dividend control for a company with a debt liability