Dividend maximization under consideration of the time value of ruin

DOI10.1016/J.INSMATHECO.2006.10.013zbMATH Open1119.91047OpenAlexW2074347855MaRDI QIDQ997096FDOQ997096

Authors: Stefan Thonhauser, Hansjörg Albrecher 

Publication date: 19 July 2007

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

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.210.1311

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Mathematics Subject Classification ID

Cites Work

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Cited In (51)

• Optimal dividends with an affine penalty
• Tax optimization with a terminal value for the Lévy risk processes
• Optimal dividend problem with a terminal value for spectrally positive Lévy processes
• Optimal dividend and capital injection strategy with fixed costs and restricted dividend rate for a dual model
• Optimal singular dividend control with capital injection and affine penalty payment at ruin
• Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes
• Optimal dividend strategies in the diffusion model with stochastic return on investments
• Dividends and reinsurance under a penalty for ruin
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs
• Optimal asset control of the diffusion model under consideration of the time value of ruin
• De Finetti's optimal dividends problem with an affine penalty function at ruin
• A perturbation approach to optimal investment, liability ratio, and dividend strategies
• Optimal dividends and ALM under unhedgeable risk
• Moments of the ruin time in a Lévy risk model
• On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
• Dividend and capital injection optimization with transaction cost for Lévy risk processes
• On optimal control of capital injections by reinsurance and investments
• On a risk model with debit interest and dividend payments
• “On the Merger of Two Companies,” Hans Gerber and Elias S. W. Shiu, July 2006
• Equilibrium dividend strategies in the dual model with a random time horizon
• A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme
• Optimal dividend strategy under Parisian ruin with affine penalty
• Optimal dividend payments under a time of ruin constraint: exponential claims
• Strategies for dividend distribution: a review
• Measuring the suboptimality of dividend controls in a Brownian risk model
• The optimal policy for insurance company under consideration of internal competition and the time value of ruin
• A Markov decision problem in a risk model with interest rate and Markovian environment
• A Lévy risk model with ratcheting and barrier dividend strategies
• Optimal risk control and dividend distribution policies for a diffusion model with terminal value
• Risk theory with affine dividend payment strategies
• Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon
• General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes
• Bayesian dividend optimization and finite time ruin probabilities
• Maximizing the expected time to ruin for a company operating N distinct funds with a 'superclaims' process
• Time-inconsistent view on a dividend problem with penalty
• Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates
• Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
• Optimization of a dividend strategy of an insurance company continuing its work after the ruin
• General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes
• Finite-time dividend-ruin models
• Stochastic optimal control of risk processes with Lipschitz payoff functions
• Optimality of refraction strategies for a constrained dividend problem
• Optimal dividend and equity issuance in the perturbed dual model under a penalty for ruin
• An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
• A diffusion model for optimal dividend payment and risk control for a firm under consideration of the time value of ruin
• Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate
• A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
• Optimal dividend payments for a two-dimensional insurance risk process
• Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process
• Optimal dividend strategies for two collaborating insurance companies
• Optimal dividend-penalty strategies for insurance risk models with surplus-dependent premiums

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