On a mean reverting dividend strategy with Brownian motion

DOI10.1016/j.insmatheco.2012.04.002zbMath1284.91200OpenAlexW3123985753MaRDI QIDQ2445337

Benjamin Avanzi, Bernard Wong

Publication date: 14 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.04.002

zbMATH Keywords

Brownian motionOrnstein-Uhlenbeck processdividendsmean reverting

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items

Dividends: from refracting to ratcheting, ON THE DISTRIBUTION OF THE EXCEDENTS OF FUNDS WITH ASSETS AND LIABILITIES IN PRESENCE OF SOLVENCY AND RECOVERY REQUIREMENTS, Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy, A perturbation approach to optimal investment, liability ratio, and dividend strategies, Risk Theory with Affine Dividend Payment Strategies, Stable dividends under linear-quadratic optimisation, On the surplus management of funds with assets and liabilities in presence of solvency requirements, The optimal dividend payout model with terminal values and its application, Diffusion approximations for insurance risk processes, Discrete Dividend Payments in Continuous Time, A Stochastic Control Problem with Linearly Bounded Control Rates in a Brownian Model, Stochastic optimal control on dividend policies with bankruptcy, Stochastic optimal control on impulse dividend model with stochastic returns

Uses Software

• DLMF

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Wiener process with drift between a linear retaining and an absorbing barrier
• Double barrier hitting time distributions with applications to exotic options
• Controlled diffusion models for optimal dividend pay-out
• Martingales and insurance risk
• Some Optimal Dividends Problems
• The dilemma between dividends and safety and a generalization of the Lundberg-Cramér formulas
• Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
• Moments of Discounted Dividends for a Threshold Strategy in the Compound Poisson Risk Model
• Strategies for Dividend Distribution: A Review
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• Optimal Dividends
• Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance