Interplay between dividend rate and business constraints for a financial corporation

DOI10.1214/105051604000000909MaRDI QIDQ1769413zbMATH OpenOpenAlexFDO

Authors Xianqiang Yang

Publication date 21 March 2005

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0503541, https://projecteuclid.org/euclid.aoap/1099674079

zbMATH Keywords

HJB equationoptimal stochastic controlrisk controlDiffusion modelbusiness constraintsdividend distribution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

Abstract: We study a model of a corporation which has the possibility to choose various production/business policies with different expected profits and risks. In the model there are restrictions on the dividend distribution rates as well as restrictions on the risk the company can undertake. The objective is to maximize the expected present value of the total dividend distributions. We outline the corresponding Hamilton-Jacobi-Bellman equation, compute explicitly the optimal return function and determine the optimal policy. As a consequence of these results, the way the dividend rate and business constraints affect the optimal policy is revealed. In particular, we show that under certain relationships between the constraints and the exogenous parameters of the random processes that govern the returns, some business activities might be redundant, that is, under the optimal policy they will never be used in any scenario.

Recommendations

• Optimal financing and dividend distribution with transaction costs in the case of restricted dividend rates
• scientific article; zbMATH DE number 2233607
• Dividend policy and capital structure of a defaultable firm
• Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
• Optimal dividends and capital injection under dividend restrictions
• Corporate liquidity, dividend policy and default risk: optimal financial policy and agency costs
• Optimal dividend problem with the influence of dividend payouts on insurance business
• Optimal dividend and capital structure with debt covenants
• Optimal financing and dividend control in the dual model

Cites work

• scientific article; zbMATH DE number 3727272 (Why is no real title available?)
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• Controlled diffusion models for optimal dividend pay-out
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Optimal proportional reinsurance policies for diffusion models
• Optimal proportional reinsurance policies for diffusion models with transaction costs
• Optimal risk and dividend control for a company with a debt liability
• Optimal risk and dividend distribution control models for an insurance company
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Optimization of the flow of dividends
• Risk vs. profit potential:
• Stochastic differential equations with reflecting boundary conditions

Cited in

(6)

• Optimal dividend and capital structure with debt covenants
• De Finetti's control problem with a concave bound on the control rate
• Dividend optimization for jump-diffusion model with solvency constraints
• Optimal dividend and proportional reinsurance strategy under standard deviation premium principle
• Optimal control of a big financial company with debt liability under bankrupt probability constraints
• scientific article; zbMATH DE number 5066537 (Why is no real title available?)

This page was built for publication: Interplay between dividend rate and business constraints for a financial corporation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1769413)