Optimal singular dividend control with capital injection and affine penalty payment at ruin

DOI10.1017/S0269964822000249MaRDI QIDQ6163063zbMATH OpenFDO

Authors Ran Xu

Publication date 16 June 2023

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

zbMATH Keywords

viscosity solutioncapital injectionCramér-Lundberg modelHJBQVIsingular dividend

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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Cites work

• scientific article; zbMATH DE number 5223066 (Why is no real title available?)
• scientific article; zbMATH DE number 3307211 (Why is no real title available?)
• An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
• De Finetti's optimal dividends problem with an affine penalty function at ruin
• Dividend maximization under consideration of the time value of ruin
• Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• On optimal dividends with exponential and linear penalty payments
• On the compound Poisson risk model with periodic capital injections
• Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
• Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates
• Optimal dividend strategies for a risk process under force of interest
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs
• Optimal financing and dividend distribution in a general diffusion model with regime switching
• Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
• Some Optimal Dividends Problems
• Stochastic optimization in insurance. A dynamic programming approach
• The finite time ruin probability in a risk model with capital injections
• Viscosity Solutions of Hamilton-Jacobi Equations

Cited in

(2)

• Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
• Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest

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