Optimal Dividend Payouts Under Jump-Diffusion Risk Processes

DOI10.1080/15326340902870133zbMath1180.60073OpenAlexW2074487696MaRDI QIDQ3643190

Zhen Zhong Zhang, Jian-Kang Zhang, Jie Zhong Zou

Publication date: 10 November 2009

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340902870133

zbMATH Keywords

insurancejump-diffusion processesstochastic impulse control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Impulsive optimal control problems (49N25)

Related Items

Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies ⋮ EQUILIBRIUM EQUITY PRICE WITH OPTIMAL DIVIDEND POLICY ⋮ Comments on ‘On Optimal Dividend Payouts Under Jump-Diffusion Risk Processes’ ⋮ Singular stochastic control model for algae growth management in dam downstream ⋮ Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility ⋮ Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models ⋮ Optimal dividend strategy with transaction costs for an upward jump model

Cites Work

• Unnamed Item
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Optimal proportional reinsurance policies for diffusion models with transaction costs
• Controlled diffusion models for optimal dividend pay-out
• Optimal dividend payouts for diffusions with solvency constraints
• Stochastic control problems where small intervention costs have big effects
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Financial Modelling with Jump Processes
• Lévy Processes and Stochastic Calculus
• Optimization of the flow of dividends
• Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
• Optimal investment for insurers