Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates

DOI10.1016/j.insmatheco.2012.02.011zbMath1284.91201OpenAlexW2093500953MaRDI QIDQ2444704

Pablo Azcue, Nora Muler

Publication date: 10 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.02.011

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutioninsurancethreshold strategyrisk controloptimal investment policyband strategyCramér-Lundberg processbounded dividend rates

Mathematics Subject Classification ID

Related Items (20)

Optimal Dividend Payment and Regime Switching in a Compound Poisson Risk Model ⋮ OPTIMAL FINANCING AND DIVIDEND DISTRIBUTION WITH TRANSACTION COSTS IN THE CASE OF RESTRICTED DIVIDEND RATES ⋮ A dividend optimization problem with constraint of survival probability in a Markovian environment model ⋮ Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms ⋮ Optimal singular dividend control with capital injection and affine penalty payment at ruin ⋮ Optimal financing and dividend policy with Markovian switching regimes ⋮ Optimal Ratcheting of Dividends in Insurance ⋮ Optimal dividend strategy in compound binomial model with bounded dividend rates ⋮ Optimal dividend of compound Poisson process under a stochastic interest rate ⋮ Optimal dividend strategies with time-inconsistent preferences ⋮ An optimal dividend strategy in the discrete Sparre Andersen model with bounded dividend rates ⋮ Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest ⋮ Optimality of refraction strategies for a constrained dividend problem ⋮ Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure ⋮ Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments ⋮ Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax ⋮ Optimal control with restrictions for a diffusion risk model under constant interest force ⋮ Optimal control problem for an insurance surplus model with debt liability ⋮ On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function

Cites Work

• Refracted Lévy processes
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Viscosity Solutions of Hamilton-Jacobi Equations
• Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
• On Optimal Dividend Strategies In The Compound Poisson Model
• Strategies for Dividend Distribution: A Review
• Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
• Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates