On the optimality of joint periodic and extraordinary dividend strategies
From MaRDI portal
Publication:2242408
DOI10.1016/j.ejor.2021.04.033zbMath1490.91247arXiv2006.00717OpenAlexW3029420338MaRDI QIDQ2242408
Hayden Lau, Benjamin Avanzi, Bernard Wong
Publication date: 9 November 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.00717
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Actuarial mathematics (91G05)
Related Items (3)
Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences ⋮ On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy ⋮ On de Finetti's optimal impulse dividend control problem under Chapter 11 bankruptcy
Cites Work
- Unnamed Item
- Optimal impulse control of a portfolio with a fixed transaction cost
- The optimal dividend barrier in the gamma-omega model
- An optimal dividends problem with transaction costs for spectrally negative Lévy processes
- On finite-time ruin probabilities in a generalized dual risk model with dependence
- Risk-sensitive dividend problems
- On optimal periodic dividend strategies in the dual model with diffusion
- Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs
- On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
- A unified treatment of dividend payment problems under fixed cost and implementation delays
- On optimal periodic dividend strategies for Lévy risk processes
- On the optimality of periodic barrier strategies for a spectrally positive Lévy process
- Optimal dividends under Erlang(2) inter-dividend decision times
- On the dual risk model with Parisian implementation delays in dividend payments
- Optimal dividends in the dual model under transaction costs
- On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
- Inequalities for the ruin probability in a controlled discrete-time risk process
- A change-of-variable formula with local time on curves
- Randomized observation periods for the compound Poisson risk model: Dividends
- Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
- ON THE INTERFACE BETWEEN OPTIMAL PERIODIC AND CONTINUOUS DIVIDEND STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS
- Erlangian Approximations for Finite-Horizon Ruin Probabilities
- Strategies for Dividend Distribution: A Review
- Passive portfolio management over a finite horizon with a target liquidation value under transaction costs and solvency constraints
- Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
This page was built for publication: On the optimality of joint periodic and extraordinary dividend strategies
