Dividend optimisation: a behaviouristic approach

DOI10.1016/J.INSMATHECO.2021.08.008MaRDI QIDQ2665855zbMATH OpenOpenAlexFDO

Authors Leonie Violetta Brinker, Julia Eisenberg

Publication date 19 November 2021

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2021.08.008

zbMATH Keywords

Brownian risk modeldividendsMarkov switchingoptimal controlParisian ruin

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Optimal stochastic control (93E20)

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Cites work

• An insurance risk model with Parisian implementation delays
• Controlled diffusion models for optimal dividend pay-out
• Dividend problem with Parisian delay for a spectrally negative Lévy risk process
• From ruin to bankruptcy for compound Poisson surplus processes
• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3166637 (Why is no real title available?)
• scientific article; zbMATH DE number 1183917 (Why is no real title available?)
• scientific article; zbMATH DE number 1515832 (Why is no real title available?)
• Markov Chains
• Occupation times for two state Markov chains
• On optimal dividends: from reflection to refraction
• On the optimal dividend problem for a spectrally negative Lévy process
• On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
• Optimal dividend distribution under Markov regime switching
• Optimal dividend policy with random interest rates
• Optimal Dividends
• Optimal Dividends in the Dual Model with Diffusion
• Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
• Parisian ruin probability for spectrally negative Lévy processes
• Randomized observation periods for the compound Poisson risk model: the discounted penalty function
• Randomized onservation periods for the compound Poisson risk model: dividends
• Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
• The impact of negative interest rates on optimal capital injections
• The Markovian regime-switching risk model with a threshold dividend strategy
• The Omega model: from bankruptcy to occupation times in the red
• The optimal dividend barrier in the gamma-omega model

Cited in

(3)

• Optimal dividends under Markov-modulated bankruptcy level
• On Itô's formula for semimartingales with jumps and non-\(\mathcal{C}^2\) functions
• Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment

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