Optimal dividend and equity issuance in the perturbed dual model under a penalty for ruin

DOI10.1080/03610926.2013.810269MaRDI QIDQ2807687zbMATH OpenOpenAlexFDO

Authors Yongxia Zhao, Rongming Wang, Dingjun Yao

Publication date 25 May 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.810269

zbMATH Keywords

HJB equationtransaction costsdual modeldividendequity issuance

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cites work

• A link between wave governed random motions and ruin processes
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
• Dividend maximization under consideration of the time value of ruin
• Dividends and reinsurance under a penalty for ruin
• On Optimal Dividend, Reinvestment, and Liquidation Policies for the Firm
• On a dual model with a dividend threshold
• Optimal Dividends in the Dual Model with Diffusion
• Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
• Optimal dividend and dynamic reinsurance strategies with capital injections and proportional costs
• Optimal dividend and equity issuance problem with proportional and fixed transaction costs
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs
• Optimal dividend strategies in a dual model with capital injections
• Optimal dividends in the dual model
• Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
• Optimal financing and dividend strategies in a dual model with proportional costs
• Optimal mixed impulse-equity insurance control problem with reinsurance
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Ruin probabilities of a dual Markov-modulated risk model

Cited in

(8)

• Computing two actuarial quantities under multilayer dividend strategy with a constant interest rate: based on Sinc methods
• Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income
• Optimal asset control of the dual model with a penalty at ruin
• Optimal size of business and dividend strategy in a nonlinear model with refinancing and liquidation value
• Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes
• On the dividends of the risk model with Markovian barrier
• Optimal dividend and issuance of equity policies in the presence of proportional costs
• Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model

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