Optimal dividends in the Brownian motion risk model with interest

DOI10.1016/j.cam.2008.10.021zbMath1162.91012OpenAlexW2094529303MaRDI QIDQ1023316

Rong Wu, Ying Fang

Publication date: 11 June 2009

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2008.10.021

zbMATH Keywords

confluent hypergeometric functionsinterestthreshold strategyoptimal dividend strategy

Mathematics Subject Classification ID

Related Items (13)

OPTIMAL FINANCING AND DIVIDEND DISTRIBUTION WITH TRANSACTION COSTS IN THE CASE OF RESTRICTED DIVIDEND RATES ⋮ Dividend optimization for general diffusions with restricted dividend payment rates ⋮ Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes ⋮ Total duration of negative surplus for a Brownian motion risk model with interest ⋮ Optimality of the threshold dividend strategy for the compound Poisson model ⋮ Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process ⋮ Optimal dividend strategy in compound binomial model with bounded dividend rates ⋮ Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates ⋮ Optimal risk exposure and dividend payout policies under model uncertainty ⋮ An optimal dividend strategy in the discrete Sparre Andersen model with bounded dividend rates ⋮ The exit time and the dividend value function for one-dimensional diffusion processes ⋮ Optimal control with restrictions for a diffusion risk model under constant interest force ⋮ Strategies for Dividend Distribution: A Review

Cites Work

• Controlled diffusion models for optimal dividend pay-out
• On optimal dividends: from reflection to refraction
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• On Optimal Dividend Strategies In The Compound Poisson Model
• Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
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