Results 131 to 140 of about 52,215 (182)
Some of the next articles are maybe not open access.
Optimal dividend and risk control policies in the presence of a fixed transaction cost
Journal of Computational and Applied Mathematics, 2021In this paper, we consider a large insurance company whose cumulative cash flow process is described by a drifted Brownian motion. The preference of the insurer is to maximize his/her firm’s value, which corresponds to the expected present value of the ...
Peng Li +3 more
semanticscholar +1 more source
Optimal dividend strategy for the dual model with surplus-dependent expense
Communications in Statistics - Theory and Methods, 2021In this paper, we consider the optimal dividend problem for the dual model with surplus-dependent expense. The objective is to find the optimal dividend-payment strategy that maximizes the expected discounted value of dividends until the time of ruin. We
Shanshan Liu, Zhaoyang Liu, Guoxin Liu
semanticscholar +1 more source
OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS
Mathematical Finance, 2010 The paper discussion an optimal dividend payments problem when the cash reserves of a firm follow a jump diffusion model. This model can incorporate both small and large movements in the cash reserves of the firm so that it can incorporate the impacts of different sources of risks such as price risk, demand risk and catastrophe risk on the cash ...
Mohamed Belhaj
openalex +3 more sources
An Optimal Control Problem in a Risk Model with Stochastic Premiums and Periodic Dividend Payments
Asia-Pacific Journal of Operational Research, 2017 In this paper, a discrete-time risk model is considered. We assume that the premium received in each time interval is a positive real-valued random variable, and the sequence of premiums is a Markov chain. In any time interval the probability of a claim occurrence is related to the premium received in the corresponding period.
Xixi Yang +3 more
openalex +3 more sources
Dividend optimization for general diffusions with restricted dividend payment rates
Scandinavian Actuarial Journal, 2014The dividend optimization problem is studied for a surplus process modeled by a general diffusion where both the drift and diffusion coefficients are functions of the surplus. The dividend payment rate is restricted. The objective is to find an optimal strategy that maximizes the total expected discounted dividends until ruin.
openaire +1 more source
Optimal Policies for Payment of Dividends through a Fixed Barrier at Discrete Time
Proceedings of the 6th International Conference on Operations Research and Enterprise Systems, 2017 Raúl Montes-de-Oca +3 more
openalex +2 more sources
On optimal dividend payments and related problems
Insurance: Mathematics and Economics, 1988zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +1 more source
On optimal dividends with penalty payments in the Cramér–Lundberg model
European Actuarial Journal, 2017Consider a classical Cramér-Lundberg risk model \(X_t^0\). A dividend is paid and negative surplus is allowed. Then the surplus becomes \(X_t^D = X_t^0 - D_t\), where the accumulated dividends \(D\) is a non-decreasing process such that \(D_{0-} = 0\). Higher surplus is preferred to lower surplus, thus a penalty \(\phi(X_t^D)\) is added, and the value ...
openaire +1 more source
Optimal dividend payments in classical risk model with capital injections and solvency constraints
The 2nd International Conference on Information Science and Engineering, 2010 This paper deals with the optimal control problem for the classical risk model with solvency constraints. The objective of the corporation is to maximize the cumulative expected discounted dividends payout minus the equity issuance with solvency constraints. It is well known that under some reasonable assumptions, optimal dividend strategy is a barrier
Shuaiqi Zhang, Guoxin Liu, Yan Li
openalex +2 more sources