Optimal dividend strategies in a Cramér-Lundberg model with capital injections

DOI10.1016/J.INSMATHECO.2008.05.013zbMATH Open1189.91075OpenAlexW1983448988MaRDI QIDQ974817FDOQ974817

Authors: Natalie Kulenko, Hanspeter Schmidli 

Publication date: 8 June 2010

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.05.013

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controlbarrier strategydividendcapital injection

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Cites Work

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Cited In (96)

• On a dividend problem with random funding
• Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
• On a doubly reflected risk process with running maximum dependent reflecting barriers
• Optimal dividend policy in an insurance company with contagious arrivals of claims
• The optimal dividend payout model with terminal values and its application
• Optimal dividend and capital injection strategy with fixed costs and restricted dividend rate for a dual model
• On a class of singular stochastic control problems for reflected diffusions
• An optimal dividend strategy in the discrete Sparre Andersen model with bounded dividend rates
• Optimal dividend strategies in discrete risk model with capital injections
• Strategies for Dividend Distribution: A Review
• Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
• Dividends and reinsurance under a penalty for ruin
• Optimal dividend strategies for a risk process under force of interest
• An optimal dividend policy with delayed capital injections
• Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs
• Optimal control and sensitivity analysis for two risk models
• On the time to ruin for a dependent delayed capital injection risk model
• De Finetti's optimal dividends problem with an affine penalty function at ruin
• Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
• Optimal dividend strategy with transaction costs for an upward jump model
• Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
• Optimal control of capital injections by reinsurance in a diffusion approximation
• Optimal dividends and reinsurance with capital injection under thinning dependence
• On capital injections and dividends with tax in a classical risk model
• Dividend maximization under consideration of the time value of ruin
• Moments of the ruin time in a Lévy risk model
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• On the central management of risk networks
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• Minimising expected discounted capital injections by reinsurance in a classical risk model
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• A Free Boundary Problem of Liquidity Management for Optimal Dividend and Insurance in Finite Horizon
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• Optimal control problem for an insurance surplus model with debt liability
• The optimal dividend and capital injection strategies in the classical risk model with randomized observation periods

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