Dividend maximization under consideration of the time value of ruin
From MaRDI portal
(Redirected from Publication:997096)
Recommendations
- A diffusion model for optimal dividend payment and risk control for a firm under consideration of the time value of ruin
- Optimal dividend payments under a time of ruin constraint: exponential claims
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections
- Optimal dividend strategies in the diffusion model with stochastic return on investments
- Optimizing the expected utility of dividend payments for a Cramér-Lundberg risk process
Cites work
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 1249326 (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
- A class of approximations of ruin probabilities
- Approximation of Optimal Reinsurance and Dividend Payout Policies
- Controlled diffusion models for optimal dividend pay-out
- Controlling risk exposure and dividends payout schemes: Insurance company example
- Diffusion approximations in collective risk theory
- Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
- Financial Modelling with Jump Processes
- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
- On minimizing the ruin probability by investment and reinsurance
- On optimal dividend strategies in the compound Poisson model
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- Optimal Dynamic XL Reinsurance
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal investment for insurers
- Optimal risk and dividend distribution control models for an insurance company
- Optimisation in Non-Life Insurance
- Ruin probabilities in the presence of regularly varying tails and optimal investment.
- The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
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 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
- Optimal singular dividend control with capital injection and affine penalty payment at ruin
- 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
- A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme
- Equilibrium dividend strategies in the dual model with a random time horizon
- 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
- Optimal risk control and dividend distribution policies for a diffusion model with terminal value
- A Markov decision problem in a risk model with interest rate and Markovian environment
- General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes
- A Lévy risk model with ratcheting and barrier dividend strategies
- Risk theory with affine dividend payment strategies
- Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon
- 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
- 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
- Time-inconsistent view on a dividend problem with penalty
- 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
- A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
- Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate
- 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
This page was built for publication: Dividend maximization under consideration of the time value of ruin
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q997096)
