Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
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- scientific article; zbMATH DE number 6492429
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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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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
- Stationary distribution of the surplus in a risk model with dividends and reinvestments
- Optimal dividend strategy under Parisian ruin with affine penalty
- 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
- 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
- Some optimisation problems in insurance with a terminal distribution constraint
- 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 payments in the classical risk model when payments are subject to both transaction costs and taxes
- Optimal dividend-penalty policies for a piecewise-deterministic compound Poisson risk model with transaction costs
- A numerical approach to optimal dividend policies with capital injections and transaction costs
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