On the Optimal Dividend Problem for Insurance Risk Models with Surplus-Dependent Premiums [PDF]
Journal of Optimization Theory and Applications, 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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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 ...
Pablo Azcue +2 more
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Optimal dividend payments under a time of ruin constraint: Exponential claims [PDF]
Insurance: Mathematics and Economics, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Camilo Hernández, Mauricio Junca
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Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs [PDF]
Advances in Applied Probability, 2007 The problem of optimal dividends paid until absorbtion at zero is considered for a rather general diffusion model. With each dividend payment there is a proportional cost and a fixed cost. It is shown that there can be essentially three different solutions depending on the model parameters and the costs. (i) Whenever assets reach a barrier y*, they are
Jostein Paulsen
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Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model [PDF]
, 2011 This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study in this general framework of both restricted and unrestricted payment schemes, which were only previously treated ...
Runhuan Feng +3 more
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A note on optimal expected utility of dividend payments with proportional reinsurance [PDF]
Scandinavian Actuarial Journal, 2016 In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proportional reinsurance. We assume the preference of the insurer is of CRRA form.
Xiaoqing Liang, Zbigniew Palmowski
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Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate [PDF]
Journal of Function Spaces, 2020 In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company taking into account the time value of ruin. We assume the preference of the insurer is of the CRRA form. The discounting factor is modeled as a geometric Brownian motion.
Yuzhen Wen, Chuancun Yin
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Optimal Parisian-type dividends payments discounted by the number of claims for the perturbed classical risk process [PDF]
, 2016 In this paper we consider a classical risk process perturbed by a Brownian motion. We analyze the value function describing the mean of the cumulative discounted dividend payments paid up to Parisian ruin time and further discounted by the number of claims appeared up to this ruin time.
Irmina Czarna +3 more
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Optimal dividend payment under time of ruin contraint: Exponential case [PDF]
, 2014 We consider the classical optimal dividends problem under the Cram r-Lundberg model with exponential claim sizes subject to a constraint on the time of ruin. We introduce the dual problem and show that the complementary slackness conditions are satisfied, thus there is no duality gap.
Camilo Hernández, Mauricio Junca
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Optimal Reinsurance and Dividend Payment Strategies [PDF]
, 1975 Pechlivanides, P.
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