Risk Theory with Affine Dividend Payment Strategies

DOI10.1007/978-3-319-55357-3_2zbMath1415.91147OpenAlexW2619278389MaRDI QIDQ4581318

Arian Cani, Hansjoerg Albrecher

Publication date: 17 August 2018

Published in: Number Theory – Diophantine Problems, Uniform Distribution and Applications (Search for Journal in Brave)

Full work available at URL: https://serval.unil.ch/resource/serval:BIB_0D639E5E9D46.P001/REF.pdf

zbMATH Keywords

Laplace transformtime to ruincompound Poisson risk modelaffine dividend payments

Mathematics Subject Classification ID

Related Items (6)

Dividends: from refracting to ratcheting ⋮ Stable dividends under linear-quadratic optimisation ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ Discrete Dividend Payments in Continuous Time ⋮ A Stochastic Control Problem with Linearly Bounded Control Rates in a Brownian Model ⋮ A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time

Uses Software

• DLMF

Cites Work

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• Use of stochastic control theory to model a forest management system
• Mixed characteristic homological theorems in low degrees.
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• On a mean reverting dividend strategy with Brownian motion
• Closed-form summations of certain hypergeometric-type series containing the digamma function
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• Quadratic Optimization of Life and Pension Insurance Payments
• Financial Modelling with Jump Processes
• Strategies for Dividend Distribution: A Review
• Summations for certain series containing the digamma function
• Stochastic Optimization in Insurance
• Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance

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