Optimal expected exponential utility of dividend payments in a Brownian risk model
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Cites work
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 3353865 (Why is no real title available?)
- An analogue of the Cramér-Lundberg approximation in the optimal investment case
- An introduction to partial differential equations
- Asymptotic ruin probabilities and optimal investment
- Controlled diffusion models for optimal dividend pay-out
- Equations d'évolution abstraites non linéaires de type parabolique
- On Cramér-like asymptotics for risk processes with stochastic return on investments
- On optimal investment and subexponential claims
- On the evolution operator for a class of non-autonomous abstract parabolic equations
- On the probability of ruin in the presence of a linear dividend barrier
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- Optimal Dividends
- Optimal investment for insurers
- Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
- Power tailed ruin probabilities in the presence of risky investments.
- Regularity theorems for solutions of a degenerate evolution equation
- Risk theory with a nonlinear dividend barrier
- The total variation of solutions of parabolic differential equations and a maximum principle in unbounded domains
Cited in
(28)- De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
- Optimising dividends and consumption under an exponential CIR as a discount factor
- Optimal dividends in the Brownian motion risk model with interest
- Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
- Optimal dividend payout model with risk sensitive preferences
- The restricted convex risk measures in actuarial solvency
- A perturbation approach to optimal investment, liability ratio, and dividend strategies
- Optimal dividends and ALM under unhedgeable risk
- Risk-sensitive dividend problems
- Dividend maximization in a hidden Markov switching model
- Optimal Ratcheting of Dividends in a Brownian Risk Model
- Personal non-life insurance decisions and the welfare loss from flat deductibles
- Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
- Restricted coherent risk measures and actuarial solvency
- Optimal dividend payments under a time of ruin constraint: exponential claims
- Dividend problem with Parisian delay for a spectrally negative Lévy risk process
- Spectral decomposition of optimal asset-liability management
- Strategies for dividend distribution: a review
- Measuring the suboptimality of dividend controls in a Brownian risk model
- Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax
- Bayesian dividend optimization and finite time ruin probabilities
- Optimizing venture capital investments in a jump diffusion model
- Optimal dividend problems with a risk probability criterion
- Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
- Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
- Optimal dividends for regulated insurers with a nonlinear penalty
- Optimal dividend payments for a two-dimensional insurance risk process
- A regularity theorem for a Volterra integral equation of the second kind
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