Interplay between dividend rate and business constraints for a financial corporation

DOI10.1214/105051604000000909zbMath1084.91048arXivmath/0503541OpenAlexW2013479352MaRDI QIDQ1769413

Xianqiang Yang

Publication date: 21 March 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0503541

zbMATH Keywords

HJB equationoptimal stochastic controlrisk controlDiffusion modelbusiness constraintsdividend distribution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (4)

Optimal control of a big financial company with debt liability under bankrupt probability constraints ⋮ Dividend optimization for jump-diffusion model with solvency constraints ⋮ Optimal dividend and capital structure with debt covenants ⋮ Optimal dividend and proportional reinsurance strategy under standard deviation premium principle

Cites Work

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• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• Optimization of the flow of dividends
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

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