Optimal timing of business conversion for solvency improvement

DOI10.1007/S10255-024-1048-0MaRDI QIDQ6565533zbMATH OpenFDO

Authors Peng Li, Ming Zhou

Publication date 2 July 2024

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

zbMATH Keywords

optimal stoppingjump-diffusion processconversion option

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Recommendations

• Optimal Dividend Payouts Under Jump-Diffusion Risk Processes
• Double optimal stopping of a risk process
• An insurer's optimal strategy towards a new independent business
• Optimal dividend and risk control policies in the presence of a fixed transaction cost
• Optimal new business for insurer to minimize the ruin probability under interest force

Cites work

• An explicit solution for an optimal stopping/optimal control problem which models an asset sale
• Irreversible investment in alternative projects
• Minimizing the probability of lifetime exponential Parisian ruin
• Minimizing the probability of ruin: optimal per-loss reinsurance
• Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls
• OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS
• On the merger of two companies
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• Optimal dividend and risk control policies in the presence of a fixed transaction cost
• Optimal dividend policy and growth option
• Optimal dividends and capital injections in the dual model with a random time horizon
• Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
• Optimal partially reversible investment with entry decision and general production function
• Optimal reinsurance with both proportional and fixed costs
• Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics
• Optimal stopping for Lévy processes with one-sided solutions
• Optimal stopping for a diffusion with jumps
• Optimal stopping of Hunt and Lévy processes
• Risk theory for the compound Poisson process that is perturbed by diffusion
• When to sell an asset amid anxiety about drawdowns

This page was built for publication: Optimal timing of business conversion for solvency improvement

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6565533)