Optimal dividends under a stochastic interest rate

DOI10.1016/J.INSMATHECO.2015.10.007MaRDI QIDQ896771zbMATH OpenOpenAlexFDO

Authors Julia Eisenberg

Publication date 14 December 2015

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2015.10.007

zbMATH Keywords

geometric Brownian motionHamilton-Jacobi-Bellman equationoptimal controldividendsinterest rateVasicek modelshort rate

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• scientific article; zbMATH DE number 5223066 (Why is no real title available?)
• Controlled diffusion models for optimal dividend pay-out
• Interest rate models -- theory and practice. With smile, inflation and credit
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Optimality results for dividend problems in insurance

Cited in

(22)

• Optimal dividend of compound Poisson process under a stochastic interest rate
• Unrestricted consumption under a deterministic wealth and an Ornstein-Uhlenbeck process as a discount rate
• Optimal dividend-distribution strategy under ambiguity aversion
• Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
• The optimal dividend payout model with terminal values and its application
• Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate
• Optimal Ratcheting of Dividends in a Brownian Risk Model
• Optimal dividend payout under stochastic discounting
• Stochastic optimal control on dividend policies with bankruptcy
• A dividend optimization problem with constraint of survival probability in a Markovian environment model
• Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy
• Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model
• Stable dividends under linear-quadratic optimisation
• Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
• Optimal dividend policies with random profitability
• Optimal Dividends
• Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
• OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
• Optimal dividends in the Brownian motion risk model with interest
• Optimising dividends and consumption under an exponential CIR as a discount factor
• “Optimal Dividends in an Ornstein-Uhlenbeck Type Model with Credit and Debit Interest,” by Jun Cai, Hans U. Gerber, Hailang Yang, April 2006
• A stochastic model for the optimal allocation of hydropower flexibility in renewable energy markets

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