Optimal dividend payments under a time of ruin constraint: exponential claims

DOI10.1016/j.insmatheco.2015.09.010zbMath1348.91146arXiv1410.3793OpenAlexW596654820MaRDI QIDQ896757

Camilo Hernández, Mauricio Junca

Publication date: 14 December 2015

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

Full work available at URL: https://arxiv.org/abs/1410.3793

zbMATH Keywords

optimal controldual problembarrier strategydividend paymentsexpected time of ruin constraint

Mathematics Subject Classification ID

Related Items (7)

Unnamed Item ⋮ A dividend optimization problem with constraint of survival probability in a Markovian environment model ⋮ Time-inconsistent view on a dividend problem with penalty ⋮ A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes ⋮ Financial risk measures for a network of individual agents holding portfolios of light-tailed objects ⋮ Optimality of refraction strategies for a constrained dividend problem ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure

Cites Work

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• An optimal consumption problem in finite time with a constraint on the ruin probability
• Dividend maximization under consideration of the time value of ruin
• Optimal dividend payouts for diffusions with solvency constraints
• On minimizing the ruin probability by investment and reinsurance
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL

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