Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs

DOI10.1007/S13385-011-0007-3MaRDI QIDQ635982zbMATH OpenOpenAlexFDO

Authors Hanspeter Schmidli, Natalie Kulenko

Publication date 25 August 2011

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13385-011-0007-3

zbMATH Keywords

dividendscapital injectionsCramer-Lundberg modeladministration costs

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

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• scientific article; zbMATH DE number 5223066 (Why is no real title available?)
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• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
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• Dividend maximization under consideration of the time value of ruin
• Maximizing Dividends without Bankruptcy
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• On the optimal dividend problem for a spectrally negative Lévy process
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs
• Optimal Dividends
• Optimal dividend and issuance of equity policies in the presence of proportional costs
• Optimal dividend strategies for a risk process under force of interest
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
• Optimality results for dividend problems in insurance
• Optimization of the flow of dividends
• Some Optimal Dividends Problems

Cited in

(22)

• Optimal dividends with an affine penalty
• On a doubly reflected risk process with running maximum dependent reflecting barriers
• Optimal dividend and capital injection strategy with fixed costs and restricted dividend rate for a dual model
• Optimal singular dividend control with capital injection and affine penalty payment at ruin
• Optimal dividend strategies in discrete risk model with capital injections
• Portfolio selection by minimizing the present value of capital injection costs
• Optimal financing and dividend distribution with transaction costs in the case of restricted dividend rates
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Optimal dividends and capital injection under dividend restrictions
• General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes
• Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
• Irreversible reinsurance: minimization of capital injections in presence of a fixed cost
• Optimal dividend and equity issuance problem with proportional and fixed transaction costs
• Optimal dividend and reinsurance in the presence of two reinsurers
• Harvesting of interacting stochastic populations
• Optimal dividend and capital injection strategies in the Cramér-Lundberg risk model
• Optimal singular dividend problem under the Sparre Andersen model
• Optimal dividend and equity issuance in the perturbed dual model under a penalty for ruin
• Optimal dividends and capital injections for a spectrally positive Lévy process
• Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process
• An optimal dividend problem with capital injections over a finite horizon
• A numerical approach to optimal dividend policies with capital injections and transaction costs

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