OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS
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Publication:3553258
DOI10.1111/J.1467-9965.2010.00399.XzbMATH Open1222.91063OpenAlexW2050452448MaRDI QIDQ3553258FDOQ3553258
Publication date: 22 April 2010
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00399.x
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Cited In (34)
- Optimal Dividend Payouts Under Jump-Diffusion Risk Processes
- q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model
- Title not available (Why is that?)
- Optimal timing of business conversion for solvency improvement
- Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy
- Optimal dividend strategies in a renewal risk model with phase-type distributed interclaim times
- Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
- Comments on ‘On Optimal Dividend Payouts Under Jump-Diffusion Risk Processes’
- SHAREHOLDER RISK MEASURES
- Impulse Stochastic Control for the Optimization of the Dividend Payments of the Compound Poisson Risk Model Perturbed by Diffusion
- OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
- Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer
- Optimal ratcheting of dividend payout under Brownian motion surplus
- Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle
- Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump-diffusion model
- Risk vs. profit potential:
- Optimal dividend policy when cash surplus follows the telegraph process
- Gambler's ruin problem in a Markov-modulated jump-diffusion risk model
- Optimal dividend strategies with time-inconsistent preferences
- Dividend optimization for jump-diffusion model with solvency constraints
- On a dual risk model perturbed by diffusion with dividend threshold
- Optimal dividend policies with transaction costs for a class of jump-diffusion processes
- Stochastic optimal control on impulse dividend model with stochastic returns
- Optimal dividend payout under stochastic discounting
- Moment and polynomial bounds for ruin-related quantities in risk theory
- Optimal dividend problems with a risk probability criterion
- Modern monetary circuit theory, stability of interconnected banking network, and balance sheet optimization for individual banks
- Optimal dividend policy when risk reserves follow a jump-diffusion process with a completely monotone jump density under Markov-regime switching
- Lévy risk model with two-sided jumps and a barrier dividend strategy
- Optimal singular dividend problem under the Sparre Andersen model
- Research of dynamic asset allocations with dividend payment under jump-diffusion environment
- Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model
- Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps
- Optimal payout policy in presence of downside risk
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