An optimal dividend strategy in the discrete Sparre Andersen model with bounded dividend rates

DOI10.1016/J.CAM.2013.08.029MaRDI QIDQ2252188zbMATH OpenOpenAlexFDO

Authors Jiyang Tan, Pingtian Yuan, Yangjin Cheng, Ziqiang Li

Publication date 16 July 2014

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2013.08.029

zbMATH Keywords

controltransformationfixed point theorySparre Andersen risk modeloptimal dividend strategy

Mathematics Subject Classification ID

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Cites work

• An elementary approach to discrete models of dividend strategies
• Controlled diffusion models for optimal dividend pay-out
• On optimal dividends: from reflection to refraction
• On the non-optimality of horizontal barrier strategies in the Sparre Andersen model
• On the renewal risk model under a threshold strategy
• Optimal Dividends
• Optimal dividend and issuance of equity policies in the presence of proportional costs
• Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Optimal dividend strategies in discrete risk model with capital injections
• Optimal dividends in the Brownian motion risk model with interest
• Optimality of the threshold dividend strategy for the compound Poisson model
• The perturbed Sparre Andersen model with a threshold dividend strategy

Cited in

(12)

• Optimal financing and dividend policy with Markovian switching regimes
• Optimal control for dividend payments and capital injections in the discrete Sparre Andersen risk model
• Optimal dividend strategy in compound binomial model with bounded dividend rates
• An optimal control problem in a risk model with stochastic premiums and periodic dividend payments
• An optimal dividend strategy in the discrete Sparre Andersen model when payments are subject to transaction costs
• A Markov decision problem in a risk model with interest rate and Markovian environment
• Optimal investment and dividend strategy in the discrete Sparre Andersen risk model
• Dividend-reinsurance strategy in the Sparre Andersen model
• Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates
• Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates
• Optimal singular dividend problem under the Sparre Andersen model
• The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier

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