Optimal dividend strategies for a risk process under force of interest

DOI10.1016/J.INSMATHECO.2008.03.012MaRDI QIDQ938046zbMATH OpenOpenAlexFDO

Authors Stefan Thonhauser, Hansjörg Albrecher

Publication date 18 August 2008

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2008.03.012

Mathematics Subject Classification ID

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• Financial Modelling with Jump Processes
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• On a gamma series expansion for the time-dependent probability of collective ruin
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
• Optimal risk control and dividend policies under excess of loss reinsurance
• Risk theory in a stochastic economic environment
• Ruin theory with stochastic return on investments

Cited in

(45)

• On dividends and Gerber-Shiu analysis with constant interest and a periodic-threshold mixed strategy
• Optimality of the threshold dividend strategy for the compound Poisson model
• Parisian ruin probability with a lower ultimate bankrupt barrier
• Optimal dividend strategy under Parisian ruin with affine penalty
• On optimality of the barrier strategy for a general Lévy risk process
• Worst-case-optimal dynamic reinsurance for large claims
• Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
• Optimal dividend of compound Poisson process under a stochastic interest rate
• Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
• Optimal dividend strategy for the dual model with surplus-dependent expense
• Optimal dividend policies for piecewise-deterministic compound Poisson risk models
• Optimal payout strategies when Bruno de Finetti meets model uncertainty
• Maximization of T-A objective functions for risk models with constant interest force
• Optimal ratcheting of dividends in insurance
• Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
• Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest
• Optimal dividends with an affine penalty
• Complete monotonicity of the probability of ruin and de Finetti's dividend problem
• Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
• Dividend problem with Parisian delay for a spectrally negative Lévy risk process
• Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes
• Optimal Ratcheting of Dividends in a Brownian Risk Model
• Optimal dividend-penalty strategies for insurance risk models with surplus-dependent premiums
• Optimal dividends under a stochastic interest rate
• An Application of the Forward Integral to an Insider’s Optimal Portfolio with the Dividend
• Optimal dividend-penalty policies for a piecewise-deterministic compound Poisson risk model with transaction costs
• Optimal control with restrictions for a diffusion risk model under constant interest force
• Strategies for dividend distribution: a review
• Optimal dividend problems with a risk probability criterion
• Optimal singular dividend control with capital injection and affine penalty payment at ruin
• Optimal dividend control for a generalized risk model with investment incomes and debit interest
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs
• On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
• Optimal dividends and ALM under unhedgeable risk
• Optimizing the expected utility of dividend payments for a Cramér-Lundberg risk process
• Barrier present value maximization for a diffusion model of insurance surplus
• Shareholder risk measures
• On maximizing expected discounted taxation in a risk process with interest
• Optimal dividend policies with transaction costs for a class of jump-diffusion processes
• Optimal dividends in the Brownian motion risk model with interest
• Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
• Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms
• Optimal dividend and investment problems under Sparre Andersen model
• Optimal dividend and capital injection strategies for a risk model under force of interest
• On optimality of the barrier strategy for the classical risk model with interest

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