On optimal periodic dividend strategies in the dual model with diffusion

DOI10.1016/j.insmatheco.2014.01.005zbMath1296.91143MaRDI QIDQ743162

Bernard Wong, Vincent Tu, Benjamin Avanzi

Publication date: 22 September 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.01.005

zbMATH Keywords

stochastic control; dual model; optimal dividends; periodic barrier

Mathematics Subject Classification ID

93E20: Optimal stochastic control

Related Items

Periodic threshold-type dividend strategy in the compound Poisson risk model, ON THE INTERFACE BETWEEN OPTIMAL PERIODIC AND CONTINUOUS DIVIDEND STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS, REFRACTION–REFLECTION STRATEGIES IN THE DUAL MODEL, Lévy insurance risk process with Poissonian taxation, On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models, On the Parisian ruin of the dual Lévy risk model, A dividend optimization problem with constraint of survival probability in a Markovian environment model, A perturbed risk model with constant interest and periodic barrier dividend strategy, Optimal Periodic Replenishment Policies for Spectrally Positive Lévy Demand Processes, Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models, An Optimal Control Problem in a Risk Model with Stochastic Premiums and Periodic Dividend Payments, ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS, Double continuation regions for American options under Poisson exercise opportunities, On the dual risk model with Parisian implementation delays under a mixed dividend strategy, Ruin-related problems in the dual risk model under two different randomized observations, Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences, Optimality of hybrid continuous and periodic barrier strategies in the dual model, On optimal periodic dividend strategies for Lévy risk processes, American options under periodic exercise opportunities, On the optimality of periodic barrier strategies for a spectrally positive Lévy process, Spectrally negative Lévy risk model under Erlangized barrier strategy, Optimal dividends under Erlang(2) inter-dividend decision times, On the improved thinning risk model under a periodic dividend barrier strategy, On the dual risk model with diffusion under a mixed dividend strategy, On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy, The Leland-Toft optimal capital structure model under Poisson observations, Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin, On the optimality of joint periodic and extraordinary dividend strategies, On a spectrally negative Lévy risk process with periodic dividends and capital injections, Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs, Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes, On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions, A Markov decision problem in a risk model with interest rate and Markovian environment, Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes, On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes, Diffusion approximations for insurance risk processes

Cites Work