On Optimal Dividend Strategies In The Compound Poisson Model

DOI10.1080/10920277.2006.10596249zbMath1479.91323OpenAlexW1511725782MaRDI QIDQ5018718

Hans U. Gerber, Elias S. W. Shiu

Publication date: 22 December 2021

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.586.6850

Mathematics Subject Classification ID

Brownian motion (60J65) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial mathematics (91G05)

Related Items (88)

Equilibrium dividend strategy with non-exponential discounting in a dual model ⋮ Dividends: from refracting to ratcheting ⋮ Optimal dividend policy in an insurance company with contagious arrivals of claims ⋮ On the bail-out optimal dividend problem ⋮ Optimal Dividend Payment and Regime Switching in a Compound Poisson Risk Model ⋮ On a perturbed Sparre Andersen risk model with multi-layer dividend strategy ⋮ A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy ⋮ The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy ⋮ Optimal Threshold Dividend Strategies under the Compound Poisson Model with Regime Switching ⋮ On the compound Poisson risk model with dependence and a threshold dividend strategy ⋮ On weighted occupation times for refracted spectrally negative Lévy processes ⋮ On a dual risk model perturbed by diffusion with dividend threshold ⋮ Optimal dividend strategy under Parisian ruin with affine penalty ⋮ Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation ⋮ Periodic threshold-type dividend strategy in the compound Poisson risk model ⋮ On the dividends of the risk model with Markovian barrier ⋮ The Erlang(n) risk model with two-sided jumps and a constant dividend barrier ⋮ Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend ⋮ Optimal dividend policies for piecewise-deterministic compound Poisson risk models ⋮ Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria ⋮ Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion ⋮ Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon ⋮ Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy ⋮ Complete discounted cash flow valuation ⋮ Optimal risk control and dividend distribution policies for a diffusion model with terminal value ⋮ Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs ⋮ Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation ⋮ Dividends and reinsurance under a penalty for ruin ⋮ Optimal reinsurance and dividend under model uncertainty ⋮ Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs ⋮ Equilibrium dividend strategies in the dual model with a random time horizon ⋮ Tax optimization with a terminal value for the Lévy risk processes ⋮ Optimal dividend and investment problems under Sparre Andersen model ⋮ Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time ⋮ Statistical estimation for some dividend problems under the compound Poisson risk model ⋮ Optimality of the threshold dividend strategy for the compound Poisson model ⋮ An extension of Paulsen-Gjessing's risk model with stochastic return on investments ⋮ Optimal Ratcheting of Dividends in Insurance ⋮ Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates ⋮ Optimal risk control and dividend strategies in the presence of two reinsurers: variance premium principle ⋮ A Risk Process with Delayed Claims and Constant Dividend Barrier ⋮ Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency ⋮ On the total operating costs up to default in a renewal risk model ⋮ Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy ⋮ Optimal dividend strategy in compound binomial model with bounded dividend rates ⋮ Asymptotic analysis of a risk process with high dividend barrier ⋮ Constant dividend barrier in a risk model with interclaim-dependent claim sizes ⋮ The perturbed Sparre Andersen model with a threshold dividend strategy ⋮ Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates ⋮ Optimal debt ratio and dividend payment strategies with reinsurance ⋮ On the time value of absolute ruin for a multi-layer compound Poisson model under interest force ⋮ On maximizing expected discounted taxation in a risk process with interest ⋮ The optimal investment, liability and dividends in insurance ⋮ Finite-time dividend problems in a Lévy risk model under periodic observation ⋮ Optimal dividend of compound Poisson process under a stochastic interest rate ⋮ On the dual risk model with Parisian implementation delays in dividend payments ⋮ On the expected discounted penalty function and optimal dividend strategy for a risk model with random incomes and interclaim-dependent claim sizes ⋮ On the threshold dividend strategy for a generalized jump-diffusion risk model ⋮ A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium ⋮ Optimal size of business and dividend strategy in a nonlinear model with refinancing and liquidation value ⋮ Dividend maximization under consideration of the time value of ruin ⋮ The compound Poisson risk model with multiple thresholds ⋮ Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time ⋮ On a generalization from ruin to default in a Lévy insurance risk model ⋮ Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves ⋮ The perturbed Sparre Andersen model with interest and a threshold dividend strategy ⋮ The perturbed compound Poisson risk model with multi-layer dividend strategy ⋮ Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates ⋮ Optimal singular dividend problem under the Sparre Andersen model ⋮ The Markovian regime-switching risk model with a threshold dividend strategy ⋮ On a dual model with a dividend threshold ⋮ Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest ⋮ Optimal dividends in the Brownian motion risk model with interest ⋮ On the renewal risk model under a threshold strategy ⋮ Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure ⋮ Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments ⋮ Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion ⋮ On a doubly reflected risk process with running maximum dependent reflecting barriers ⋮ Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game ⋮ A Risk Model with Multilayer Dividend Strategy ⋮ Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model ⋮ “A Risk Model with Multilayer Dividend Strategy”, Hansjorg Albrecher and Jürgen Hartinger, April 2007 ⋮ Moments of Discounted Dividends for a Threshold Strategy in the Compound Poisson Risk Model ⋮ Optimal control with restrictions for a diffusion risk model under constant interest force ⋮ Optimal dividend strategies in a renewal risk model with phase-type distributed interclaim times ⋮ Strategies for Dividend Distribution: A Review ⋮ Gerber-Shiu analysis with two-sided acceptable levels

Cites Work

• Controlled diffusion models for optimal dividend pay-out
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The compound Poisson risk model with a threshold dividend strategy
• On optimal dividends: from reflection to refraction
• On a Classical Risk Model with a Constant Dividend Barrier
• Some Optimal Dividends Problems
• Optimization of the flow of dividends
• The Time Value of Ruin in a Sparre Andersen Model
• On the Time Value of Ruin
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: On Optimal Dividend Strategies In The Compound Poisson Model