Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest

DOI10.1016/j.cam.2013.08.033zbMath1291.91138OpenAlexW3124749899MaRDI QIDQ2252244

Jinxia Zhu

Publication date: 16 July 2014

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.2013.08.033

zbMATH Keywords

regime switchingcompound Poisson processsingular controlCramér-Lundberg modelband strategydividend optimization

Mathematics Subject Classification ID

Related Items (8)

A Markov decision problem in a risk model with interest rate and Markovian environment ⋮ Optimal dividends under Markov-modulated bankruptcy level ⋮ Optimal dividend policy when risk reserves follow a jump-diffusion process with a completely monotone jump density under Markov-regime switching ⋮ On the Bailout Dividend Problem for Spectrally Negative Markov Additive Models ⋮ Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates ⋮ DIVIDEND OPTIMIZATION FOR A REGIME-SWITCHING DIFFUSION MODEL WITH RESTRICTED DIVIDEND RATES ⋮ The absolute ruin insurance risk model with a threshold dividend strategy ⋮ Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax

Cites Work

• Unnamed Item
• Asymptotically optimal dividend policy for regime-switching compound Poisson models
• Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
• Optimal dividend strategies for a risk process under force of interest
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• On differentiability of ruin functions under Markov-modulated models
• Controlled diffusion models for optimal dividend pay-out
• Optimal dividend distribution under Markov regime switching
• Optimal risk and dividend distribution control models for an insurance company
• Classical and singular stochastic control for the optimal dividend policy when there is regime switching
• Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Some Properties of Viscosity Solutions of Hamilton-Jacobi Equations
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
• Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs
• On the time value of absolute ruin with debit interest
• Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
• Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach

This page was built for publication: Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest