A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier

DOI10.2143/AST.36.2.2017931zbMath1162.91374MaRDI QIDQ3632846

X. Sheldon Lin, Hans U. Gerber, Hailiang Yang

Publication date: 15 June 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Related Items (56)

Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest ⋮ Optimal dividend policy in an insurance company with contagious arrivals of claims ⋮ Optimal dividend-penalty strategies for insurance risk models with surplus-dependent premiums ⋮ Perturbed MAP Risk Models with Dividend Barrier Strategies ⋮ Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy ⋮ Lévy insurance risk process with Poissonian taxation ⋮ Risk Theory with Affine Dividend Payment Strategies ⋮ Linking dividends and capital injections – a probabilistic approach ⋮ Infinite series expansion of some finite-time dividend and ruin related functions ⋮ Optimisation of drawdowns by generalised reinsurance in the classical risk model ⋮ Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ On optimality of the barrier strategy for the classical risk model with interest ⋮ A scale function based approach for solving integral-differential equations in insurance risk models ⋮ The optimal dividend barrier in the gamma-omega model ⋮ Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs ⋮ On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications ⋮ Statistical estimation for some dividend problems under the compound Poisson risk model ⋮ On the Gerber–Shiu function with random discount rate ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ A note on moments of dividends ⋮ Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims ⋮ A note on scale functions and the time value of ruin for Lévy insurance risk processes ⋮ De Finetti's optimal dividends problem with an affine penalty function at ruin ⋮ An elementary approach to discrete models of dividend strategies ⋮ A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model ⋮ An insurance risk model with Parisian implementation delays ⋮ Obtaining the dividends-penalty identities by interpretation ⋮ Constant dividend barrier in a risk model with interclaim-dependent claim sizes ⋮ Methods for estimating the optimal dividend barrier and the probability of ruin ⋮ Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates ⋮ On the dual risk model with Parisian implementation delays in dividend payments ⋮ On the Upcrossing and Downcrossing Probabilities of a Dual Risk Model With Phase-Type Gains ⋮ On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes ⋮ Dividend Barrier Strategies in A Renewal Risk Model with Generalized Erlang Interarrival Times ⋮ Complete monotonicity of the probability of ruin and de Finetti's dividend problem ⋮ Optimal dividend strategies in a Cramér-Lundberg model with capital injections ⋮ On a risk model with surplus-dependent premium and tax rates ⋮ Dividend maximization under consideration of the time value of ruin ⋮ When does surplus reach a given target before ruin in the Markov-modulated diffusion model? ⋮ Analysis of the Compound Poisson Surplus Model with Liquid Reserves, Interest and Dividends ⋮ First passage problems for upwards skip-free random walks via the scale functions paradigm ⋮ Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach ⋮ On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions ⋮ A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme ⋮ Dividend Moments in the Dual Risk Model: Exact and Approximate Approaches ⋮ A Direct Approach to the Discounted Penalty Function ⋮ The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model ⋮ Optimal dividends with an affine penalty ⋮ “On The Expected Discounted Penalty function for Lévy Risk Processes”, José Garrido and Manuel Morales, October 2006 ⋮ Extended Gerber-Shiu functions in a risk model with interest ⋮ A Risk Model with Multilayer Dividend Strategy ⋮ Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model ⋮ Authors’ Reply: On the Merger of Two Companies - Discussion by Hansjörg Albrecher; Stefan Thonhauser ⋮ On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function ⋮ Strategies for Dividend Distribution: A Review

Cites Work

This page was built for publication: A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier