Optimal investment and dividend payment strategies with debt management and reinsurance
Journal of Industrial & Management Optimization, 2018 This paper derives the optimal debt ratio, investment and dividend payment strategies for an insurance company. The surplus process is jointly determined by the reinsurance strategies, debt levels, investment portfolios and unanticipated shocks. The objective is to maximize the total expected discounted utility of dividend payments in finite-time ...
Qian Zhao, Zhuo Jin, Jiaqin Wei
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Optimal liability ratio and dividend payment strategies under catastrophic risk
Journal of Industrial & Management Optimization, 2018 This paper investigates the optimal strategies for liability management and dividend payment in an insurance company. The surplus process is jointly determined by the reinsurance policies, liability levels, future claims and unanticipated shocks. The decision maker aims to maximize the total expected discounted utility of dividend payment in infinite ...
Linyi Qian +3 more
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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 George Yin
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Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections [PDF]
Automatica, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhuo Jin, Hailiang Yang, Gang George Yin
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Company Value with Ruin Constraint in a Discrete Model
Risks, 2018 Optimal dividend payment under a ruin constraint is a two objective control problem which—in simple models—can be solved numerically by three essentially different methods.
Christian Hipp
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Company Value with Ruin Constraint in Lundberg Models
Risks, 2018 In this note we study the problem of company values with a ruin constraint in classical continuous time Lundberg models. For this, we adapt the methods and results for discrete de Finetti models to time and state continuous Lundberg models.
Christian Hipp
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Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint
Risks, 2019 We consider the optimal bail-out dividend problem with fixed transaction cost for a Lévy risk model with a constraint on the expected present value of injected capital.
Mauricio Junca +2 more
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On the Optimal Dividend Problem for Insurance Risk Models with Surplus-Dependent Premiums [PDF]
, 2015 This paper concerns an optimal dividend distribution problem for an insurance company with surplus-dependent premium. In the absence of dividend payments, such a risk process is a particular case of so-called piecewise deterministic Markov processes. The
Marciniak, Ewa, Palmowski, Zbigniew
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Optimizing expected utility of dividend payments for a Cramér-Lundberg risk proces [PDF]
, 2011 We consider the problem of maximizing the discounted utility of dividend payments of an insurance company whose reserves are modeled as a classical Cramér-Lundberg risk process. We investigate this optimization problem under the constraint that dividend rate is bounded.
Zbigniew Palmowski, Sebastian Baran
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Optimal dividend payments for a two-dimensional insurance risk process [PDF]
European Actuarial Journal, 2018 We consider a two-dimensional optimal dividend problem in the context of two branches of an insurance company with compound Poisson surplus processes dividing claims and premia in some specified proportions. We solve the stochastic control problem of maximizing expected cumulative discounted dividend payments (among all admissible dividend strategies ...
Azcue, Pablo +2 more
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