STOCHASTIC APPROACH TO DIVIDEND EQUALIZATION FUND MODELLING AND SOLVENCY

DOI10.1142/S0218202505000972MaRDI QIDQ3370182zbMATH OpenOpenAlexFDO

Authors Helgard Raubenheimer, Maria D. van der Walt, Mark A. Petersen

Publication date 7 February 2006

Published in M\(^3\)AS. Mathematical Models \& Methods in Applied Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0218202505000972

zbMATH Keywords

stochastic modellingsolvency ratio

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Recommendations

• scientific article; zbMATH DE number 3965294
• The Dividend Problem in a Diffusive Stochastic Model
• On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
• A stochastic-dynamic approach to pension funding
• Risk theory with a nonlinear dividend barrier

Cites work

• Controlling risk exposure and dividends payout schemes: Insurance company example
• On optimal dividend payments and related problems
• Optimal risk and dividend control for a company with a debt liability
• Optimal risk and dividend distribution control models for an insurance company
• Optimal risk control for a large corporation in the presence of returns on investments

Cited in

(3)

• Bank management via stochastic optimal control
• ON THE DISTRIBUTION OF THE EXCEDENTS OF FUNDS WITH ASSETS AND LIABILITIES IN PRESENCE OF SOLVENCY AND RECOVERY REQUIREMENTS
• Optimizing asset and capital adequacy management in banking

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