Optimal dividend strategies for a compound Poisson process under transaction costs and power utility

DOI10.1080/15326349.2011.542734zbMATH Open1262.91096OpenAlexW2060282113MaRDI QIDQ4906410FDOQ4906410

Authors: Stefan Thonhauser, Hansjörg Albrecher 

Publication date: 11 February 2013

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

Full work available at URL: https://serval.unil.ch/notice/serval:BIB_C06D11F424D9

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• scientific article; zbMATH DE number 6492429

zbMATH Keywords

stochastic controltransaction costsclassical risk modeldividends

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Impulsive optimal control problems (49N25)

Cites Work

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• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
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• Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach
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• An optimal dividends problem with transaction costs for spectrally negative Lévy processes
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• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Optimal portfolio policies under fixed and proportional transaction costs
• Viscosity solutions associated with impulse control problems for piecewise-deterministic processes
• Optimality conditions for impulsive control of piecewise-deterministic processes
• A policy iteration algorithm for fixed point problems with nonexpansive operators
• Optimality of an \((s,S)\) policy with compound Poisson and diffusion demands: a quasi-variational inequalities approach
• OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
• Optimal Dividend Payouts Under Jump-Diffusion Risk Processes

Cited In (26)

• On a dividend problem with random funding
• Optimal dividend policy in an insurance company with contagious arrivals of claims
• Optimal cash management problem for compound Poisson processes with two-sided jumps
• An optimal dividend policy with delayed capital injections
• A perturbation approach to optimal investment, liability ratio, and dividend strategies
• The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model
• A markov-modulated risk model with transaction costs and threshold dividend strategy
• On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
• Singular stochastic control model for algae growth management in dam downstream
• Personal non-life insurance decisions and the welfare loss from flat deductibles
• Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model
• Optimal dividend policies with transaction costs for a class of diffusion processes
• A note on the optimal dividends problem with transaction costs in a spectrally negative Lévy model with Parisian ruin
• Optimal dividend strategy under Parisian ruin with affine penalty
• Stationary distribution of the surplus in a risk model with dividends and reinvestments
• Optimal dividends in the dual model under transaction costs
• An optimal dividend strategy in the discrete Sparre Andersen model when payments are subject to transaction costs
• Some optimisation problems in insurance with a terminal distribution constraint
• Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
• Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
• Optimal dividend of compound Poisson process under a stochastic interest rate
• A class of solvable stochastic dividend optimization problems: on the general impact of flexibility on valuation
• Optimal investment with transaction costs and dividends for an insurer
• Optimal dividend-penalty policies for a piecewise-deterministic compound Poisson risk model with transaction costs
• Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes
• A numerical approach to optimal dividend policies with capital injections and transaction costs

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