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

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Cites work

scientific article; zbMATH DE number 1249326 (Why is no real title available?)
scientific article; zbMATH DE number 5223066 (Why is no real title available?)
scientific article; zbMATH DE number 3307211 (Why is no real title available?)
A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
Optimal Financing of a Corporation Subject To Random Returns
Optimal control of a Brownian storage system
Some Optimal Dividends Problems

Cited in

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Moments of the ruin time in a Lévy risk model
Optimal dividend and capital injection strategies in the Cramér-Lundberg risk model
Optimal debt ratio and dividend payment strategies with reinsurance
Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process
Optimal dividend and capital injection problem with random delay
Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
Optimal threshold dividend strategies under the compound Poisson model with regime switching
Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
Optimal dividend policy in an insurance company with contagious arrivals of claims
On optimal dividends with exponential and linear penalty payments
Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
Stationary distribution of the surplus in a risk model with dividends and reinvestments
Optimal dividend and equity issuance in the perturbed dual model under a penalty for ruin
Optimal reinsurance and dividend strategies with capital injections in Cramér-Lundberg approximation model
Optimal dividend strategies in a dual model with capital injections
An optimal dividend strategy in the discrete Sparre Andersen model with bounded dividend rates
Dividends with tax and capital injection in a spectrally negative Lévy risk model
The optimal dividend payout model with terminal values and its application
Dividends and reinsurance under a penalty for ruin
Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
Optimal dividend strategies for two collaborating insurance companies
Optimal control of capital injections by reinsurance in a diffusion approximation
Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
Dividend maximization under consideration of the time value of ruin
Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
Optimal dividend strategies for a risk process under force of interest
Optimal dividend and dynamic reinsurance strategies with capital injections and proportional costs
Stochastic optimal control on dividend policies with bankruptcy
An optimal dividend problem with capital injections over a finite horizon
Harvesting of interacting stochastic populations
Optimal dividends and reinsurance with capital injection under thinning dependence
Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy
Minimising expected discounted capital injections by reinsurance in a classical risk model
Complete discounted cash flow valuation
Optimal dividend and capital injection strategy with excess-of-loss reinsurance and transaction costs
On the compound Poisson risk model with periodic capital injections
Optimal dividend strategies in discrete risk model with capital injections
Strategies for dividend distribution: a review
Optimal dividend and capital injection strategies in the compound Poisson model with random interest rates
On the joint distribution of tax payments and capitalinjections for a Lévy risk model
Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
On optimal dividends with penalty payments in the Cramér-Lundberg model
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 capital injections and dividends with tax in a diffusion approximation
On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model
Optimal dividend strategy with transaction costs for an upward jump model
On a dividend problem with random funding
Optimal dividend and proportional reinsurance strategy under standard deviation premium principle
Asymptotic behavior of the processes describing some insurance models
A numerical approach to optimal dividend policies with capital injections and transaction costs
Optimal dividend-equity issuance strategy in a dual model with fixed and proportional transaction costs
Optimal dividend and capital injection strategy with fixed costs and restricted dividend rate for a dual model
Optimal control for a linear system subject to a general ARIMA disturbance
On the time to ruin for a dependent delayed capital injection risk model
Fiscal stimulus as an optimal control problem
Optimal dividends and capital injection under dividend restrictions
Optimal dividend and capital injection strategies for a risk model under force of interest
A stochastic model for the optimal allocation of hydropower flexibility in renewable energy markets
Power identities for Lévy risk models under taxation and capital injections
Optimal dividend and equity issuance problem with proportional and fixed transaction costs
Portfolio selection by minimizing the present value of capital injection costs
Optimal dividend strategy in compound binomial model with bounded dividend rates
De Finetti's optimal dividends problem with an affine penalty function at ruin
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model
Asymptotically optimal dividend policy for regime-switching compound Poisson models
On capital injections and dividends with tax in a classical risk model
On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance
scientific article; zbMATH DE number 5717345 (Why is no real title available?)
Optimal dividend payments of a two-dimensional compound Poisson risk model with capital injection
On the central management of risk networks
Optimal capital injections and dividends with tax in a risk model in discrete time
On a time-changed Lévy risk model with capital injections and periodic observation
Optimal payout strategies when Bruno de Finetti meets model uncertainty
Delayed capital injections for a risk process with Markovian arrivals
On a class of singular stochastic control problems for reflected diffusions
Optimal dividends with an affine penalty
Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. II: Numerical aspects
Different topological solution structures in a two-dimensional controlled ruin problem depending on the optimization criterion
Impulse stochastic control for the optimal dividend policy in a classical risk model with capital injection, transaction costs and taxes
Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects
A scale function based approach for solving integral-differential equations in insurance risk models
Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle
Dividends and capital injections in a renewal model with Erlang distributed inter-arrival times
An optimal dividend policy with delayed capital injections
The moments of the discounted loss and the discounted dividends for a spectrally negative Lévy risk process
Optimal singular dividend control with capital injection and affine penalty payment at ruin
A perturbation approach to optimal investment, liability ratio, and dividend strategies
Optimal asset control of a geometric Brownian motion with the transaction costs and bankruptcy permission
A free boundary problem of liquidity management for optimal dividend and insurance in finite horizon
Optimal control and sensitivity analysis for two risk models
On a doubly reflected risk process with running maximum dependent reflecting barriers
Optimizing the expected utility of dividend payments for a Cramér-Lundberg risk process
The optimal dividend and capital injection strategies in the classical risk model with randomized observation periods
Optimal control problem for an insurance surplus model with debt liability
Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms
Time-inconsistent view on a dividend problem with penalty
Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences

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