Optimal dividends and ALM under unhedgeable risk

DOI10.1016/J.INSMATHECO.2013.07.007zbMATH Open1290.91097OpenAlexW2133048386MaRDI QIDQ2015618FDOQ2015618

Authors: Antoon Pelsser, Roger J. A. Laevent 

Publication date: 23 June 2014

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

Full work available at URL: http://dare.uva.nl/personal/pure/en/publications/optimal-dividends-and-alm-under-unhedgeable-risk(fcd8fb09-f5c8-489a-9f57-b56ac2e0068d).html

Recommendations

• Optimal Dividends Under Model Uncertainty
• Optimal risk exposure and dividend payout policies under model uncertainty
• Optimal dividend problems with a risk probability criterion
• Optimal Dividend Payouts Under Jump-Diffusion Risk Processes
• Optimal dividend strategy under the risk model with stochastic premium
• Optimization of the risk of a dividend policy
• Optimal dividend strategies for a risk process under force of interest
• Optimal dividend and capital injection strategies in the Cramér-Lundberg risk model
• Optimal dividend payout model with risk sensitive preferences
• Optimal dividend-payout in an MAP risk model

zbMATH Keywords

HJB equationoptimal dividendsstochastic control theoryunhedgeable riskALM

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Title not available (Why is that?)
• Controlled diffusion models for optimal dividend pay-out
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
• Title not available (Why is that?)
• Risk Aversion in the Small and in the Large
• Optimal expected exponential utility of dividend payments in a Brownian risk model
• Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
• Optimal risk and dividend distribution control models for an insurance company
• Title not available (Why is that?)
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• Dividend maximization under consideration of the time value of ruin
• Title not available (Why is that?)

Cited In (2)

• Utility maximization and risk minimization in life and pension insurance
• Optimal Cross Hedging of Insurance Derivatives

This page was built for publication: Optimal dividends and ALM under unhedgeable risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2015618)