Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates

DOI10.1007/s00186-015-0504-2zbMath1372.91054OpenAlexW833417150WikidataQ125887724 ScholiaQ125887724MaRDI QIDQ494698

Bicheng Zhang, Ziqiang Li, Chun Li, Xiang-Qun Yang, Ji Yang Tan

Publication date: 2 September 2015

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-015-0504-2

zbMATH Keywords

transformationtime of ruindelayed claimoptimal dividend strategypenalty for ruin

Mathematics Subject Classification ID

Related Items (4)

A consistent estimation of optimal dividend strategy in a risk model with delayed claims ⋮ On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates ⋮ An Optimal Control Problem in a Risk Model with Stochastic Premiums and Periodic Dividend Payments ⋮ Optimal dividend payout under stochastic discounting

Cites Work

• Unnamed Item
• Moments of the present value of total dividends and related problems in the risk model with delayed claims
• Dividends and reinsurance under a penalty for ruin
• Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
• Markov decision processes with applications to finance.
• Optimal financing and dividend control in the dual model
• Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process
• An optimal dividends problem with transaction costs for spectrally negative Lévy processes
• De Finetti's optimal dividends problem with an affine penalty function at ruin
• Expected present value of total dividends in a delayed claims risk model under stochastic interest rates
• The compound binomial risk model with time-correlated claims
• Dividend maximization under consideration of the time value of ruin
• Optimal dividends in the Brownian motion risk model with interest
• Ruin probabilities allowing for delay in claims settlement
• Ruin probabilities for time-correlated claims in the compound binomial model.
• Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
• An optimal dividend strategy in the discrete Sparre Andersen model with bounded dividend rates
• Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
• Optimal Dividend Policies with Transaction Costs for a Class of Diffusion Processes
• An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• Some Optimal Dividends Problems
• On Optimal Dividend Strategies In The Compound Poisson Model
• On Ultimate Ruin in a Delayed-Claims Risk Model
• Optimal dividend strategies in a dual model with capital injections

This page was built for publication: Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates