The optimal dividend payout model with terminal values and its application
Summary: For some firms with large nonliquid assets, preferred shareholders can still get back a little bit of money when the firms finish disbursement of loans at the status of bankruptcy. For such a situation, to investigate the optimal dividend policy, a stochastic dynamic dividend model with nonzero terminal bankruptcy values is put forward in this paper. Moreover, an analytic solution for the optimal objective function of the discounted dividends is provided and verified. An important application of this result is that it can be employed to construct the solution for the optimal value function on the dividend problem with bailouts at bankruptcy. Further, the relationship for the solutions of these two different problems is demonstrated. In the end, some numerical examples are provided to support our theoretical results and the corresponding economic interpretations are illustrated.
- Stochastic optimal control on dividend policies with bankruptcy
- Optimal dividends under Markov-modulated bankruptcy level
- Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy
- Optimal dividend policies with random profitability
- Dependence of the optimal risk control decisions on the terminal value for a financial corporation
- A posteriori error estimates for discontinuous Galerkin approximation of non-stationary convection-diffusion optimal control problems
- Asymptotic stability in the pth moment for stochastic differential equations with Lévy noise
- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy
- Controlling risk exposure and dividends payout schemes: Insurance company example
- Dependence of the optimal risk control decisions on the terminal value for a financial corporation
- scientific article; zbMATH DE number 3383329 (Why is no real title available?)
- Infinite-horizon investment consumption model with a nonterminal bankruptcy
- Local discontinuous Galerkin approximation of convection-dominated diffusion optimal control problems with control constraints
- On a mean reverting dividend strategy with Brownian motion
- On optimal dividends with exponential and linear penalty payments
- Optimal choice of dividend barriers for a risk process with stochastic return on investments
- Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
- Optimal dividend and capital injection strategies in the Cramér-Lundberg risk model
- Optimal dividend and issuance of equity policies in the presence of proportional costs
- Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs
- Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
- Optimal dividend policies with transaction costs for a class of jump-diffusion processes
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections
- Optimal dividend strategies with time-inconsistent preferences
- Optimal dividends under a stochastic interest rate
- Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
- Optimal financing and dividend control of the insurance company with proportional reinsurance policy
- 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 for a diffusion model with terminal value
- Optimization of the flow of dividends
- Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
- Razumikhin-type theorem for stochastic functional differential equations with Lévy noise and Markov switching
- Risk vs. profit potential:
- Stability analysis of Markov switched stochastic differential equations with both stable and unstable subsystems
- The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance
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