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

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• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
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zbMATH Keywords

diffusion modelHamilton-Jacobi-Bellman equationdividend paymentoptimal policyrisk control

Mathematics Subject Classification ID

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

Cites Work

• Controlled diffusion models for optimal dividend pay-out
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Stochastic differential equations with reflecting boundary conditions
• Title not available (Why is that?)
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal risk control for a large corporation in the presence of returns on investments
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• Optimal risk and dividend control for a company with a debt liability
• Dividend maximization under consideration of the time value of ruin

Cited In (10)

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

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