Results 201 to 210 of about 31,009 (233)

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 0001   +2 more
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Optimal Dividend Payment Strategy under Stochastic Interest Force

Quality & Quantity, 2006
This 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
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Optimal dividend payment under a ruin constraint: Discrete time and state space

Blätter der DGVFM, 2003
We 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.
Christian Hipp
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Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump–diffusion model

Nonlinear Analysis: Hybrid Systems, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Senren Tan, Zhuo Jin, G. Yin
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A diffusion model for optimal dividend payment and risk control for a firm under consideration of the time value of ruin

Wuhan University Journal of Natural Sciences, 2010
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Wei, Hu, Yijun
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Optimal dividend and capital injection strategy with a penalty payment at ruin: Restricted dividend payments

Insurance: Mathematics and Economics, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xu, Ran, Woo, Jae-Kyung
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On optimal dividends with exponential and linear penalty payments

Insurance: Mathematics and Economics, 2017
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Matthias Vierkötter, Hanspeter Schmidli
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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
openaire   +1 more source

On optimal dividend payments and related problems

Insurance: Mathematics and Economics, 1988
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Dividend optimization for general diffusions with restricted dividend payment rates

Scandinavian Actuarial Journal, 2014
The 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.
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