Optimal expected exponential utility of dividend payments in a Brownian risk model
DOI10.1080/03461230601165201zbMATH Open1164.62080OpenAlexW1998575560MaRDI QIDQ3608218FDOQ3608218
Authors: Peter Grandits, Friedrich Hubalek, Walter Schachermayer, Mislav Žigo 
Publication date: 28 February 2009
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230601165201
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optimal controlfree boundary value problemexponential utilityBrownian motion with driftoptimal dividend payment
Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamic programming (90C39) Brownian motion (60J65) Utility theory (91B16) Applications of optimal control and differential games (49N90)
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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 dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
- Optimal dividends in the Brownian motion risk model with interest
- 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
- Optimal Ratcheting of Dividends in a Brownian Risk Model
- Risk-sensitive dividend problems
- Dividend maximization in a hidden Markov switching 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
- Dividend problem with Parisian delay for a spectrally negative Lévy risk process
- Spectral decomposition of optimal asset-liability management
- Optimal dividend payments under a time of ruin constraint: exponential claims
- Strategies for dividend distribution: a review
- Measuring the suboptimality of dividend controls in a Brownian risk model
- Bayesian dividend optimization and finite time ruin probabilities
- Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax
- Optimal dividend problems with a risk probability criterion
- Optimizing venture capital investments in a jump diffusion model
- Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
- Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
- 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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