Optimal dividend payout under compound Poisson income

DOI10.1023/A:1004689008633zbMath1050.93078OpenAlexW161491582MaRDI QIDQ1973489

Tim Zajic

Publication date: 2000

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1004689008633

zbMATH Keywords

bankruptcyStochastic controldividendscompound Poisson processes

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (5)

Equilibrium dividend strategy with non-exponential discounting in a dual model ⋮ Optimal dividend-penalty strategies for insurance risk models with surplus-dependent premiums ⋮ De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process ⋮ Optimal dividend payments for a two-dimensional insurance risk process ⋮ On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function

Cites Work

• Risk vs. profit potential:
• Controlled diffusion models for optimal dividend pay-out
• Discounted Dynamic Programming
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• On the Time Value of Ruin
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