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Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
Quantitative Finance, 2009 In this paper we study the optimal excess-of-loss reinsurance and dividend strategy for maximizing the expected total discounted dividends received by shareholders until ruin time. Transaction costs and taxes are required when dividends occur. The problem is formulated as a stochastic impulse control problem.
Lihua Bai, Junyi Guo, Huayue Zhang
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Calculating optimal dividend payment, reinsurance, and investment strategies in a diffusion model
Sibirskii zhurnal industrial'noi matematiki, 2015Summary: We consider the problem of the maximization of the total expected discounted amount of dividends paid by an insurance company up to the bankruptcy. It is assumed that the reinsurance is allowed and the wealth can be invested in a risky asset whose dynamics is described by the Black-Scholes model with random drift obeying the Ornstein-Uhlenbeck
Rokhlin, D. B., Mironenko, G. V.
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A Note on the Optimal Dividend Payments for the Jump-Diffusion Process with Solvency Constraints
2010 2nd International Conference on Information Engineering and Computer Science, 2010 This paper extends the known result due to Belhaj[1] who found the optimal dividend policy is of a barrier type for a jump-diffusion model with exponentially distributed jumps. It turns out that there can be essentially two different solutions depending on the model's parameters.
Shuaiqi Zhang
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Applied Mathematics-A Journal of Chinese Universities, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Wei, Hu -, Yijun
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Scandinavian Actuarial Journal, 2010
In this paper, we study optimal dividend problem in the classical risk model. Transaction costs and taxes are required when dividends occur. The problem is formulated as a stochastic impulse control problem. By solving the corresponding quasi-variational inequality, we obtain the analytical solutions of the optimal return function and the optimal ...
Lihua Bai, Junyi Guo
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In this paper, we study optimal dividend problem in the classical risk model. Transaction costs and taxes are required when dividends occur. The problem is formulated as a stochastic impulse control problem. By solving the corresponding quasi-variational inequality, we obtain the analytical solutions of the optimal return function and the optimal ...
Lihua Bai, Junyi Guo
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Stochastic optimal control on dividend policies with bankruptcy
Optimization, 2019When a firm is at the edge of bankruptcy, it would endeavour to attract bailouts from governments or financial institutions to cast off bad situation.
Peimin Chen, Xiankang Luo
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Optimal periodic dividends with penalty payments under a diffusion model
Communications in Statistics - Theory and Methods, 2023Long Yang, Guohe Deng
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SIAM Journal on Control and Optimization, 2008
Assets are assumed to follow a diffusion process subject to some conditions. The owners can pay dividends at their discretion, but whenever assets reach zero, they have to reinvest money so that assets never go negative. With each dividend payment there is a fixed and a proportional cost, and so with reinvestments.
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Assets are assumed to follow a diffusion process subject to some conditions. The owners can pay dividends at their discretion, but whenever assets reach zero, they have to reinvest money so that assets never go negative. With each dividend payment there is a fixed and a proportional cost, and so with reinvestments.
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Optimal Dividend-Penalty Strategies for Insurance Risk Models with Surplus-Dependent Premiums
Acta Mathematica Scientia, 2020Jingwei Li, Guoxin Liu, Jinyan Zhao
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Stochastic Analysis and Applications, 2012
This article deals with the optimal dividend problem for the classical risk model perturbed by diffusion. With each dividend payment there is a proportional cost and a fixed cost. The objective of the corporation is to maximize the cumulative expected discounted dividends payout until the time of ruin. It controls the timing and the amount of dividends
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This article deals with the optimal dividend problem for the classical risk model perturbed by diffusion. With each dividend payment there is a proportional cost and a fixed cost. The objective of the corporation is to maximize the cumulative expected discounted dividends payout until the time of ruin. It controls the timing and the amount of dividends
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