On a mean reverting dividend strategy with Brownian motion

DOI10.1016/J.INSMATHECO.2012.04.002zbMATH Open1284.91200OpenAlexW3123985753MaRDI QIDQ2445337FDOQ2445337

Authors: Benjamin Avanzi, Bernard Wong 

Publication date: 14 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.04.002

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zbMATH Keywords

Ornstein-Uhlenbeck processBrownian motiondividendsmean reverting

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

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• Games of Economic Survival with Discrete- and Continuous-Income Processes
• Double barrier hitting time distributions with applications to exotic options
• Martingales and insurance risk
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• Moments of discounted dividends for a threshold strategy in the compound Poisson risk model
• The dilemma between dividends and safety and a generalization of the Lundberg-Cramér formulas
• The Wiener process with drift between a linear retaining and an absorbing barrier

Cited In (15)

• On the surplus management of funds with assets and liabilities in presence of solvency requirements
• The optimal dividend payout model with terminal values and its application
• Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy
• Discrete dividend payments in continuous time
• Optimal Dividends
• A perturbation approach to optimal investment, liability ratio, and dividend strategies
• Stable dividends under linear-quadratic optimisation
• A stochastic control problem with linearly bounded control rates in a Brownian model
• De Finetti's control problem with a concave bound on the control rate
• Dividends: from refracting to ratcheting
• ON THE DISTRIBUTION OF THE EXCEDENTS OF FUNDS WITH ASSETS AND LIABILITIES IN PRESENCE OF SOLVENCY AND RECOVERY REQUIREMENTS
• Stochastic optimal control on impulse dividend model with stochastic returns
• Risk theory with affine dividend payment strategies
• Stochastic optimal control on dividend policies with bankruptcy
• Diffusion approximations for insurance risk processes

Uses Software

• Digital Library of Mathematical Functions

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