Optimal dividend payout for classical risk model with risk constraint

DOI10.1007/S10255-014-0414-8MaRDI QIDQ477499zbMATHOpenAlexFDO

Authors Shumin Chen

Publication date 9 December 2014

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-014-0414-8

zbMATH Keywords

optimal dividendclassical risk modelfixed transaction costrisk constraint

Mathematics Subject Classification ID

Diffusion processes (60J60)

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Cites work

• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 515978 (Why is no real title available?)
• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• Controlled diffusion models for optimal dividend pay-out
• Controlling risk exposure and dividends payout schemes: Insurance company example
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Optimal Dividends
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes
• Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
• Optimal dividend payouts for diffusions with solvency constraints
• Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Optimal risk control for a large corporation in the presence of returns on investments
• Optimization of the flow of dividends
• Point processes and queues. Martingale dynamics

Cited in

(15)

• Optimal stopping of the classical risk model controlled by dividend strategy
• Optimal dividend policies for piecewise-deterministic compound Poisson risk models
• Optimal dividend payouts for diffusions with solvency constraints
• Periodic dividend optimization problem under the control of survival probability
• Optimal dividend problems with a risk probability criterion
• Optimal risk exposure and dividend payout policies under model uncertainty
• Risk-sensitive dividend problems
• Optimality results for dividend problems in insurance
• scientific article; zbMATH DE number 6262709 (Why is no real title available?)
• Optimizing the expected utility of dividend payments for a Cramér-Lundberg risk process
• A diffusion model for optimal dividend payment and risk control for a firm under consideration of the time value of ruin
• The optimal deductible and coverage in insurance contracts and equilibrium risk sharing policies
• On optimal dividend payments and related problems
• On optimality of the barrier strategy for the classical risk model with interest
• Optimal dividend strategy in a jump-diffusion model with a linear barrier constraint

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