Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility
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Publication:4906410
DOI10.1080/15326349.2011.542734zbMATH Open1262.91096OpenAlexW2060282113MaRDI QIDQ4906410FDOQ4906410
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
Applications of renewal theory (reliability, demand theory, etc.) (60K10) Impulsive optimal control problems (49N25)
Cites Work
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Cited In (17)
- Optimal dividend policy in an insurance company with contagious arrivals of claims
- 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
- Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model
- AN OPTIMAL DIVIDEND POLICY WITH DELAYED CAPITAL INJECTIONS
- 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
- 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
- PERSONAL NON-LIFE INSURANCE DECISIONS AND THE WELFARE LOSS FROM FLAT DEDUCTIBLES
- A numerical approach to optimal dividend policies with capital injections and transaction costs
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