Results 1 to 10 of about 30,897 (133)
Optimal debt ratio and dividend payment strategies with reinsurance [PDF]
Insurance: Mathematics and Economics, 2015 This paper derives the optimal debt ratio and dividend payment strategies for an insurance company. Taking into account the impact of reinsurance policies and claims from the credit derivatives, the surplus process is stochastic that is jointly ...
Jin, Z, Yang, H, Yin, G
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Optimal Debt Ratio and Dividend Payment Policies for Insurers with Ambiguity
Mathematics, 2023 This study considers the optimal debt ratio and dividend payment policies for an insurer concerned about model misspecification. We assume that the insurer can invest all of its asset to the financial market and the ambiguity may exist in the risky asset.
Dan Zhu, Cuixia Chen, Bing Liu
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Optimal Dividend Payment in De Finetti Models: Survey and New Results and Strategies [PDF]
Risks, 2020 We consider optimal dividend payment under the constraint that the with-dividend ruin probability does not exceed a given value α. This is done in most simple discrete De Finetti models. We characterize the value function V(s,α) for initial surplus s of this problem, characterize the corresponding optimal dividend strategies, and present an algorithm ...
Christian Hipp
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Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model [PDF]
CoRR, 2014 This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study in this general
Chao Zhu +7 more
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Optimal investment policy and dividend payment strategy in an insurance company [PDF]
The Annals of Applied Probability, 2010 We consider in this paper the optimal dividend problem for an insurance company whose uncontrolled reserve process evolves as a classical Cram\'{e}r--Lundberg process. The firm has the option of investing part of the surplus in a Black--Scholes financial
Di Tella +3 more
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Land, 2021 Background: The distribution of farmers’ increment income is the key to the transfer of land use rights. This research aims to detect the optimal payment mode for the distribution of land increment income obtained by farmers in land rights transfer ...
Lei Yan, Kairong Hong, Hui Li
doaj +1 more source
Optimal dividend payments under a time of ruin constraint: Exponential claims [PDF]
Insurance: Mathematics and Economics, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hernández, Camilo, Junca, Mauricio
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Optimal expected exponential utility of dividend payments in a Brownian risk model [PDF]
Scandinavian Actuarial Journal, 2007 We consider the following optimisation problem for an insurance company Here U(x) = (1−exp(−γx))/γ denotes an exponential utility function with risk aversion parameter γ, C denotes the accumulated dividend process, and β a discount factor. We show that – assuming that a certain integral equation has a solution – the optimal strategy is a barrier ...
Grandits, P. +3 more
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A note on optimal expected utility of dividend payments with proportional reinsurance [PDF]
Scandinavian Actuarial Journal, 2017 In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proportional reinsurance. We assume the preference of the insurer is of CRRA form.
Liang, Xiaoqing, Palmowski, Zbigniew
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Optimal Reinsurance and Dividend Payment Strategies [PDF]
ASTIN Bulletin, 1978 This paper presents a normative model for the sequential reinsurance and dividend-payment problem of the Insurance Company (I.C.). Optimal strategies are found in closed form for a class of utility functions. In some sense the model studied can be viewed as an adaptation of Hakansson's investment-consumption model of the individual [3] or a ...
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