On optimal dividends with penalty payments in the Cramér-Lundberg model

DOI10.1007/S13385-017-0153-3zbMath1396.91313OpenAlexW2618795009MaRDI QIDQ1689031

Matthias Vierkötter

Publication date: 12 January 2018

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-017-0153-3

zbMATH Keywords

barrier strategypenalty paymentsCramér-Lundberg modeloptimal dividends

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (1)

Optimal dividends for regulated insurers with a nonlinear penalty

Cites Work

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• On the optimal dividend problem for insurance risk models with surplus-dependent premiums
• Minimisation of penalty payments by investments and reinsurance
• On optimal dividends with exponential and linear penalty payments
• The optimal dividend barrier in the gamma-omega model
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Point processes and queues. Martingale dynamics
• On minimizing the ruin probability by investment and reinsurance
• Strategies for Dividend Distribution: A Review
• Stochastic Optimization in Insurance
• Optimal investment for insurers

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