On optimality of the barrier strategy for the classical risk model with interest

DOI10.1007/S10255-011-0041-6MaRDI QIDQ628629zbMATHOpenAlexFDO

Authors Ying Fang, Rong Wu

Publication date 14 March 2011

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-011-0041-6

zbMATH Keywords

barrier strategyoptimal dividend strategy

Mathematics Subject Classification ID

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Cites work

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• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• Controlled diffusion models for optimal dividend pay-out
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• On the Time Value of Ruin
• On the optimal dividend problem for a spectrally negative Lévy process
• Optimal Dividends
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Some Optimal Dividends Problems
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion

Cited in

(27)

• Optimal dividend strategy under the risk model with stochastic premium
• Optimal stopping of the classical risk model controlled by dividend strategy
• Optimal dividend policies for piecewise-deterministic compound Poisson risk models
• Optimal dividend strategies in a renewal risk model with phase-type distributed interclaim times
• Maximization of T-A objective functions for risk models with constant interest force
• Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest
• Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process
• Dividend optimization under the gamma-distribution of claims
• Maximizing dividends without bankruptcy in the case where the individual claims sizes are distributed as a mixture of shifted exponential distributions
• Optimal dividend strategies for a risk process under force of interest
• On a barrier strategy for the classical risk process with constant interest force
• The perturbed compound Poisson risk model with proportional investment
• Semiparametric estimation in the optimal dividend barrier for the classical risk model
• Optimal control with restrictions for a diffusion risk model under constant interest force
• Approximations of the optimal dividends barrier in the classical risk models
• On the non-optimality of horizontal barrier strategies in the Sparre Andersen model
• The optimal dividend strategy in the perturbed compound Poisson risk model with investment
• Optimality results for dividend problems in insurance
• Constant barrier strategies in a two-state Markov-modulated dual risk model
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• Discrete time optimal dividend problem with constant premium and exponentially distributed claims
• On the dividends of the risk model with Markovian barrier
• Optimal dividend strategy for an insurance group with contagious default risk
• Optimal expected exponential utility of dividend payments in a Brownian risk model
• Optimal dividend payout for classical risk model with risk constraint
• Optimal dividend strategy in compound binomial model with bounded dividend rates
• Optimal dividend strategy in a jump-diffusion model with a linear barrier constraint

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