A diffusion model for optimal dividend payment and risk control for a firm under consideration of the time value of ruin

DOI10.1007/S11859-010-0668-9zbMATH Open1240.91052OpenAlexW2016548883MaRDI QIDQ3017397FDOQ3017397

Authors Wei Liu, Yijun Hu

Publication date 19 July 2011

Published in Wuhan University Journal of Natural Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11859-010-0668-9

zbMATH Keywords

diffusion modelHamilton-Jacobi-Bellman equationdividend paymentoptimal policyrisk control

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• Controlled diffusion models for optimal dividend pay-out
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Dividend maximization under consideration of the time value of ruin
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Optimal risk and dividend control for a company with a debt liability
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Optimal risk control for a large corporation in the presence of returns on investments
• Stochastic differential equations with reflecting boundary conditions

Cited in

(10)

• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• Optimal asset control of the diffusion model under consideration of the time value of ruin
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Maximizing the expected time to ruin for a company operating N distinct funds with a 'superclaims' process
• Dividend maximization under consideration of the time value of ruin
• Optimal risk control and dividend distribution policies for a diffusion model with terminal value
• Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency
• Optimal dividend payout for classical risk model with risk constraint
• The optimal policy for insurance company under consideration of internal competition and the time value of ruin
• Optimal dividend strategy in a jump-diffusion model with a linear barrier constraint

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