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

DOI10.1080/03610926.2013.810269zbMATH Open1360.91097OpenAlexW2237986147MaRDI QIDQ2807687FDOQ2807687

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

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zbMATH Keywords

HJB equationtransaction costsdual modeldividendequity issuance

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (8)

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

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