Optimal dividend-payout in random discrete time

DOI10.1524/STND.2011.1097MaRDI QIDQ3104433zbMATH OpenOpenAlexFDO

Authors Nicole Bäuerle, Stefan Thonhauser, Hansjörg Albrecher

Publication date 19 December 2011

Published in Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL https://publikationen.bibliothek.kit.edu/1000032886

Markov decision process stochastic control insurance risk Cramér--Lundberg model discrete dividend strategy Lévy model

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Discrete-time Markov processes on general state spaces (60J05) Optimal stochastic control (93E20)

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Cites work

Approximation of Optimal Reinsurance and Dividend Payout Policies
De Finetti's optimal dividends problem with an affine penalty function at ruin
OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
Optimality results for dividend problems in insurance

Cited in

(35)

On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
On the compound Poisson risk model with periodic capital injections
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
Periodic threshold-type dividend strategy in the compound Poisson risk model
On linear stochastic equations of optional semimartingales and their applications
Estimating discrete dividends by no-arbitrage
Optimal dividend strategies for a catastrophe insurer
Optimal dividend payout model with risk sensitive preferences
Optimal Dividends
The optimal dividend barrier in the gamma-omega model
On optimal periodic dividend strategies in the dual model with diffusion
Risk-sensitive dividend problems
Dividend maximization in a hidden Markov switching model
On optimal dividends with exponential and linear penalty payments
Discrete time optimal dividend problem with constant premium and exponentially distributed claims
Dividends: from refracting to ratcheting
HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation
On the optimal dividend strategy in a regime-switching diffusion model
Optimal dividend-payout in an MAP risk model
Optimal dividend payout under compound Poisson income
Optimal dividend policies with random profitability
Optimal dividend payments under a time of ruin constraint: exponential claims
On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
An elementary approach to discrete models of dividend strategies
Dividends under threshold dividend strategy with randomized observation periods and capital-exchange agreement
Financial markets in the context of the general theory of optional processes
Continuity inequalities for multidimensional renewal risk models
A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy
On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions
Optimal dividend problems with a risk probability criterion
Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms
On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes
The dividend problem with a finite horizon
On optimal periodic dividend strategies for Lévy risk processes
On the dual risk model with diffusion under a mixed dividend strategy

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