Results 211 to 220 of about 31,009 (233)
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An Optimal Control Problem in a Risk Model with Stochastic Premiums and Periodic Dividend Payments
Asia-Pacific Journal of Operational Research, 2017In 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
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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 ...
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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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Applied Mathematics-A Journal of Chinese Universities, 2016
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Liu, Wei, Hu, Yijun
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Wei, Hu, Yijun
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Optimal singular dividend control with capital injection and affine penalty payment at ruin
Probability in the Engineering and Informational Sciences, 2022In 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. The asymptotic relationships between our value function to the one with bounded dividend density are studied, which also ...
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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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Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
Quantitative Finance, 2010In 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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Optimal dividend payments in classical risk model with capital injections and solvency constraints
The 2nd International Conference on Information Science and Engineering, 2010This 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
null Shuaiqi Zhang, Guoxin Liu, Yan Li
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OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS
Mathematical Finance, 2010The 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 ...
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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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