Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility
From MaRDI portal
Publication:4906410
DOI10.1080/15326349.2011.542734zbMath1262.91096OpenAlexW2060282113MaRDI QIDQ4906410
Stefan Thonhauser, Hansjoerg Albrecher
Publication date: 11 February 2013
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://serval.unil.ch/notice/serval:BIB_C06D11F424D9
Applications of renewal theory (reliability, demand theory, etc.) (60K10) Impulsive optimal control problems (49N25)
Related Items
Optimal dividend policy in an insurance company with contagious arrivals of claims ⋮ The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model ⋮ AN OPTIMAL DIVIDEND POLICY WITH DELAYED CAPITAL INJECTIONS ⋮ Optimal dividend strategy under Parisian ruin with affine penalty ⋮ Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model ⋮ A perturbation approach to optimal investment, liability ratio, and dividend strategies ⋮ Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching ⋮ Stationary distribution of the surplus in a risk model with dividends and reinvestments ⋮ Some optimisation problems in insurance with a terminal distribution constraint ⋮ A markov-modulated risk model with transaction costs and threshold dividend strategy ⋮ A note on the optimal dividends problem with transaction costs in a spectrally negative Lévy model with Parisian ruin ⋮ PERSONAL NON-LIFE INSURANCE DECISIONS AND THE WELFARE LOSS FROM FLAT DEDUCTIBLES ⋮ Singular stochastic control model for algae growth management in dam downstream ⋮ A numerical approach to optimal dividend policies with capital injections and transaction costs ⋮ Optimal dividends in the dual model under transaction costs ⋮ Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments ⋮ On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An optimal dividends problem with transaction costs for spectrally negative Lévy processes
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections
- Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
- A policy iteration algorithm for fixed point problems with nonexpansive operators
- Viscosity solutions associated with impulse control problems for piecewise-deterministic processes
- Optimality conditions for impulsive control of piecewise-deterministic processes
- Portfolio optimisation with strictly positive transaction costs and impulse control
- Some applications of impulse control in mathematical finance
- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
- Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs
- Optimal portfolio policies under fixed and proportional transaction costs
- Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach
- OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
- Optimality of an $(s,S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-Variational Inequalities Approach
- Optimal Dividend Payouts Under Jump-Diffusion Risk Processes
- Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
