Optimal financing and dividend control in the dual model

DOI10.1016/J.MCM.2011.01.019MaRDI QIDQ636479zbMATH OpenOpenAlexFDO

Authors Hongshuai Dai, Zaiming Liu

Publication date 28 August 2011

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mcm.2011.01.019

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdual modeloptimal dividend controloptimal financing control

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3246848 (Why is no real title available?)
• Applied stochastic control of jump diffusions
• Controlled Markov processes and viscosity solutions
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• Instantaneous Control of Brownian Motion
• Optimal Financing of a Corporation Subject To Random Returns
• Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
• Optimal dividend and issuance of equity policies in the presence of proportional costs
• Optimal dividends in the dual model
• Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
• Optimal financing and dividend control of the insurance company with proportional reinsurance policy
• Optimal risk and dividend distribution control models for an insurance company
• Optimizing venture capital investments in a jump diffusion model
• Reflexion discontinue et systèmes stochastiques

Cited in

(11)

• Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates
• Optimal financing and dividend policy with Markovian switching regimes
• Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate
• Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
• Interplay between dividend rate and business constraints for a financial corporation
• Dynamic results of financial leverage clienteles
• ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
• Optimal asset control of the dual model with a penalty at ruin
• A model of optimal financing decisions in a stochastic framework
• Optimal financing and dividend strategies in a dual model with proportional costs
• Optimal dividend problem with a terminal value for spectrally positive Lévy processes

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