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

DOI10.1007/S13385-011-0007-3zbMATH Open1222.91026OpenAlexW2014975823MaRDI QIDQ635982FDOQ635982

Natalie Kulenko, Hanspeter Schmidli

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

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zbMATH Keywords

dividendscapital injectionsCramer-Lundberg modeladministration costs

Mathematics Subject Classification ID

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

Cites Work

• Controlled diffusion models for optimal dividend pay-out
• On the optimal dividend problem for a spectrally negative Lévy process
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Title not available (Why is that?)
• Optimization of the flow of dividends
• Optimal dividend strategies for a risk process under force of interest
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal Dividends
• Some Optimal Dividends Problems
• Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
• Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
• Maximizing Dividends without Bankruptcy
• Optimal dividend and issuance of equity policies in the presence of proportional costs
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Dividend maximization under consideration of the time value of ruin
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier

Cited In (20)

• 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
• Optimal dividends and capital injection under dividend restrictions
• An Optimal Dividend Problem with Capital Injections over a Finite Horizon
• General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes
• PORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTS
• Irreversible reinsurance: minimization of capital injections in presence of a fixed cost
• Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
• 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 FINANCING AND DIVIDEND DISTRIBUTION WITH TRANSACTION COSTS IN THE CASE OF RESTRICTED DIVIDEND RATES
• 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
• A numerical approach to optimal dividend policies with capital injections and transaction costs

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