Results 121 to 130 of about 52,215 (182)
Insurance: Mathematics and Economics, 2020 In this paper, we study the optimal dividend and capital injection problem with the penalty payment at ruin. The dividend strategy is assumed to be restricted to a small class of absolutely continuous strategies with bounded dividend density.
Ran Xu, Jae‐Kyung Woo
semanticscholar +4 more sources
Optimal singular dividend control with capital injection and affine penalty payment at ruin
Probability in the Engineering and Informational Sciences, 2022 In this paper, we extend the optimal dividend and capital injection problem with affine penalty at ruin in (Xu, R. & Woo, J.K. (2020). Insurance: Mathematics and Economics 92: 1–16) to the case with singular dividend payments.
Ran Xu
semanticscholar +4 more sources
Optimal Dividend Payment and Regime Switching in a Compound Poisson Risk Model
SIAM Journal on Control and Optimization, 2015 Summary: We study a mixed singular control/optimal stopping problem for an insurance company. The manager has the possibility of switching among several regimes; in each of the regimes, the uncontrolled surplus of the company evolves as a different compound Poisson process with drift.
Pablo Azcue, Nora Muler
semanticscholar +3 more sources
Optimal dividend payment problems in piecewise-deterministic compound Poisson risk models
2012 IEEE 51st IEEE Conference on Decision and Control (CDC), 2012 This work deals with an optimal dividend payment problem for a piecewise-deterministic compound Poisson insurance risk model. The objective is to maximize the expected discounted dividend payout up to the time of ruin. When the dividend payment rate is restricted, the value function is shown to be a solution of the corresponding Hamilton-Jacobi-Bellman
Runhuan Feng, Shuaiqi Zhang, Chao Zhu
semanticscholar +3 more sources
Numerical Methods for Optimal Dividend Payment and Investment Strategies of Markov-Modulated Jump Diffusion Models with Regular and Singular Controls [PDF]
Journal of Optimization Theory and Applications, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhuo Jin, Gang Yin
semanticscholar +5 more sources
Some of the next articles are maybe not open access.
Related searches:
Related searches:
Optimal Dividend Payment Strategy under Stochastic Interest Force
Quality & Quantity, 2007This paper attempts to study the optimal dividend barrier strategy in risk analysis of an insurance company under stochastic discount interest. Based on stochastic perturbation methodology, we first describe the random of interest by Wiener Process and Poisson process and yield some theoretical results satisfied by optimal dividend barrier. In the case
Xia Zhao, Bo Zhang, Zechun Mao
semanticscholar +2 more sources
Optimal dividend payments in the stochastic Ramsey model
Stochastic Processes and their Applications, 2010 This paper deals with the dividend payments of a self-financing firm in the stochastic Ramsey model. The firm's policy is the dividend payment per capital stock for shareholders. The author derived the stochastic integral equation for the dynamics of capital stock and treated the problem to maximize the expected total discounted dividends, subject to a
Hiroaki Morimoto
openalex +2 more sources
Optimal dividend payment under a ruin constraint: Discrete time and state space
Blätter der DGVFM, 2003We consider optimal dividend payment under the constraint that the controlled risk process has a ruin probability which does not exceed a given bound. The underlying simple model has independent identically distributed total claims per year and a constant yearly premium, all integers.
C. Hipp
semanticscholar +2 more sources
On optimal dividends with exponential and linear penalty payments
Insurance: Mathematics and Economics, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Matthias Vierkötter, Hanspeter Schmidli
openalex +2 more sources