Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes

DOI10.1080/03461230802591098zbMath1224.91043OpenAlexW1979182537MaRDI QIDQ3077749

Lihua Bai, Jun-Yi Guo

Publication date: 22 February 2011

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230802591098

zbMATH Keywords

optimal strategyquasi-variational inequalitydividendsstochastic impulse controlexponential claim distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)

Related Items (20)

Optimal insurance risk control with multiple reinsurers ⋮ A consistent estimation of optimal dividend strategy in a risk model with delayed claims ⋮ Impulse Stochastic Control for the Optimization of the Dividend Payments of the Compound Poisson Risk Model Perturbed by Diffusion ⋮ Dividend and capital injection optimization with transaction cost for Lévy risk processes ⋮ Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model ⋮ A perturbation approach to optimal investment, liability ratio, and dividend strategies ⋮ A note on optimal expected utility of dividend payments with proportional reinsurance ⋮ Stationary distribution of the surplus in a risk model with dividends and reinvestments ⋮ Optimal dividend policies with transaction costs for a class of jump-diffusion processes ⋮ OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES ⋮ The Gerber-Shiu discounted penalty function in the classical risk model with impulsive dividend policy ⋮ A markov-modulated risk model with transaction costs and threshold dividend strategy ⋮ Optimal dividend and capital injection strategy with fixed costs and restricted dividend rate for a dual model ⋮ Optimal dividend payout for classical risk model with risk constraint ⋮ Time-consistent mean–variance proportional reinsurance and investment problem in a defaultable market ⋮ Optimal dividend strategies with time-inconsistent preferences ⋮ Optimal dividend strategy with transaction costs for an upward jump model ⋮ Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax ⋮ Optimal dividend strategies in discrete risk model with capital injections ⋮ Optimal control problem for an insurance surplus model with debt liability

Cites Work

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• Optimal dividend payouts for diffusions with solvency constraints
• On the optimal dividend problem for a spectrally negative Lévy process
• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• Optimization of the flow of dividends
• Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
• On the Time Value of Ruin
• 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

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