Optimal dividend distribution under Markov regime switching
From MaRDI portal
Publication:1761453
DOI10.1007/s00780-012-0174-3zbMath1252.93135arXiv0812.4978OpenAlexW3125159644MaRDI QIDQ1761453
Zhengjun Jiang, Martijn R. Pistorius
Publication date: 15 November 2012
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0812.4978
Stochastic models in economics (91B70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (46)
Optimal dividend policy in an insurance company with contagious arrivals of claims ⋮ Gambler's ruin problem in a Markov-modulated jump-diffusion risk model ⋮ On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model ⋮ Dividend maximization in a hidden Markov switching model ⋮ Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes ⋮ Optimal Threshold Dividend Strategies under the Compound Poisson Model with Regime Switching ⋮ Dynamic asset–liability management in a Markov market with stochastic cash flows ⋮ A stochastic model for the optimal allocation of hydropower flexibility in renewable energy markets ⋮ Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model ⋮ Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application ⋮ Optimal dividends under Markov-modulated bankruptcy level ⋮ Optimal dividend-distribution strategy under ambiguity aversion ⋮ Dividend optimisation: a behaviouristic approach ⋮ On Itô's formula for semimartingales with jumps and non-\(\mathcal{C}^2\) functions ⋮ Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching ⋮ Optimal dividend policy when risk reserves follow a jump-diffusion process with a completely monotone jump density under Markov-regime switching ⋮ Optimal dividend payout under stochastic discounting ⋮ Optimal stopping and impulse control in the presence of an anticipated regime switch ⋮ On the Bailout Dividend Problem for Spectrally Negative Markov Additive Models ⋮ An efficient algorithm for pricing reinsurance contract under the regime-switching model ⋮ A mixed singular/switching control problem with terminal cost for modulated diffusion processes ⋮ DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS ⋮ On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes ⋮ Optimal financing and dividend policy with Markovian switching regimes ⋮ Optimal dividend policy with random interest rates ⋮ Optimising dividends and consumption under an exponential CIR as a discount factor ⋮ Market frictions and corporate finance: an overview paper ⋮ Optimal debt ratio and dividend strategies for an insurer under a regime-switching model ⋮ Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching ⋮ Liquidity risk and optimal dividend/investment strategies ⋮ Dividend problem with Parisian delay for a spectrally negative Lévy risk process ⋮ Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest ⋮ DIVIDEND OPTIMIZATION FOR A REGIME-SWITCHING DIFFUSION MODEL WITH RESTRICTED DIVIDEND RATES ⋮ Optimal dividends with partial information and stopping of a degenerate reflecting diffusion ⋮ Optimal Reinsurance and Dividend Strategies Under the Markov-Modulated Insurance Risk Model ⋮ Dividend optimization for regime-switching general diffusions ⋮ Optimal dividend policy when cash surplus follows the telegraph process ⋮ The impact of negative interest rates on optimal capital injections ⋮ On an optimal extraction problem with regime switching ⋮ Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model ⋮ Optimal Control of Debt-to-GDP Ratio in an $N$-State Regime Switching Economy ⋮ Explicit Computations for Some Markov Modulated Counting Processes ⋮ Bayesian Dividend Optimization and Finite Time Ruin Probabilities ⋮ An Optimal Dividend Problem with Capital Injections over a Finite Horizon ⋮ Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax ⋮ q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model
Cites Work
- Unnamed Item
- Analysis of time series subject to changes in regime
- Optimal dividend and issuance of equity policies in the presence of proportional costs
- Ruin theory for a Markov regime-switching model under a threshold dividend strategy
- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- An application of hidden Markov models to asset allocation problems
- Controlled diffusion models for optimal dividend pay-out
- Irreversible investment with regime shifts
- On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
- Classical and singular stochastic control for the optimal dividend policy when there is regime switching
- Optimal dividend policy and growth option
- Exit problems in regime-switching models
- Some results about the expected ruin time in Markov-modulated risk models
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
- OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Risk theory in a Markovian environment
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Optimization of the flow of dividends
- Optimal risk control for a large corporation in the presence of returns on investments
This page was built for publication: Optimal dividend distribution under Markov regime switching
