scientific article; zbMATH DE number 3307211

zbMATH Open0193.20501MaRDI QIDQ5588331FDOQ5588331

H. U. Gerber

Publication date: 1969

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zbMATH Keywords

operations research

Cited In (85)

• Optimal singular dividend control with capital injection and affine penalty payment at ruin
• Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
• Optimal Ratcheting of Dividends in Insurance
• A two-dimensional dividend problem for collaborating companies and an optimal stopping problem
• Optimal ratcheting of dividend payout under Brownian motion surplus
• Approximating the classical risk process by stable Lévy motion
• Premium control with reinforcement learning
• Dividend and capital injection optimization with transaction cost for Lévy risk processes
• Discounted dividends in a strategy with a step barrier function
• On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy
• On de Finetti's optimal impulse dividend control problem under Chapter 11 bankruptcy
• On dividends and Gerber-Shiu analysis with constant interest and a periodic-threshold mixed strategy
• Optimal dividend strategy under Parisian ruin with affine penalty
• Optimal dividend-distribution strategy under ambiguity aversion
• Measuring the suboptimality of dividend controls in a Brownian risk model
• Band strategies: The random walk of reserves
• A scale function based approach for solving integral-differential equations in insurance risk models
• Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms
• Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences
• Discrete Dividend Payments in Continuous Time
• Optimal dividends under a drawdown constraint and a curious square-root rule
• Optimal payout strategies when Bruno de Finetti meets model uncertainty
• Optimal Dividend Payment and Regime Switching in a Compound Poisson Risk Model
• Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest
• On a dividend problem with random funding
• On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
• Optimal dividends under Markov-modulated bankruptcy level
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• Equilibrium dividend strategy with non-exponential discounting in a dual model
• Optimal investment for insurer with jump-diffusion risk process
• Strategies for Dividend Distribution: A Review
• Risk Theory with Affine Dividend Payment Strategies
• Optimal dividend strategies for a risk process under force of interest
• Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs
• Optimal dividends in the Brownian motion risk model with interest
• Optimal investment policy and dividend payment strategy in an insurance company
• Convexity and smoothness of scale functions and de Finetti's control problem
• A Risk Model with Multilayer Dividend Strategy
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Optimal control of capital injections by reinsurance in a diffusion approximation
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model
• Worst-case-optimal dynamic reinsurance for large claims
• Optimal Ratcheting of Dividends in a Brownian Risk Model
• Dividend maximization under consideration of the time value of ruin
• The moments of the discounted loss and the discounted dividends for a spectrally negative Lévy risk process
• The compound Poisson risk model with a threshold dividend strategy
• On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
• An optimal dividends problem with transaction costs for spectrally negative Lévy processes
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• On optimal dividends with exponential and linear penalty payments
• Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model
• Dividends: from refracting to ratcheting
• Dividends with tax and capital injection in a spectrally negative Lévy risk model
• Optimal dividend payout under compound Poisson income
• Optimal dividend strategies with time-inconsistent preferences
• Optimal Dividend Problem: Asymptotic Analysis
• A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme
• Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates
• Optimal dividend and proportional reinsurance strategy under standard deviation premium principle
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Dividend problem with Parisian delay for a spectrally negative Lévy risk process
• Solution to HJB equations with an elliptic integro-differential operator and gradient constraint
• Optimal dividend policies with transaction costs for a class of jump-diffusion processes
• On optimality of the barrier strategy for the classical risk model with interest
• Optimality of the threshold dividend strategy for the compound Poisson model
• Dividend-reinsurance strategy in the Sparre Andersen model
• A free boundary problem arising from a stochastic optimal control model under controllable risk
• On optimal dividends with penalty payments in the Cramér-Lundberg model
• Lévy risk model with two-sided jumps and a barrier dividend strategy
• Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
• Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model
• General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes
• Analysis of risk models using a level crossing technique
• Stochastic optimal control of risk processes with Lipschitz payoff functions
• Optimal control of risk exposure, reinsurance and investments for insurance portfolios
• On optimality of the barrier strategy for a general Lévy risk process
• Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
• An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
• Optimal dividend and investment problems under Sparre Andersen model
• Optimal dividend payments for a two-dimensional insurance risk process
• Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process
• Optimal dividend strategies for two collaborating insurance companies
• Optimal dividend-penalty strategies for insurance risk models with surplus-dependent premiums

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