On optimal dividends with exponential and linear penalty payments

DOI10.1016/J.INSMATHECO.2016.12.001zbMath1394.91235OpenAlexW2562425825WikidataQ115571848 ScholiaQ115571848MaRDI QIDQ506101

Hanspeter Schmidli, Matthias Vierkötter

Publication date: 31 January 2017

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.12.001

zbMATH Keywords

diffusion processbarrier strategypenalty paymentsoptimal dividends

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (16)

Minimisation of penalty payments by investments and reinsurance ⋮ Optimal dividends under Markov-modulated bankruptcy level ⋮ Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance ⋮ On optimal dividends with penalty payments in the Cramér-Lundberg model ⋮ Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences ⋮ The optimal deductible and coverage in insurance contracts and equilibrium risk sharing policies ⋮ Optimal dividends for regulated insurers with a nonlinear penalty ⋮ Optimal singular dividend control with capital injection and affine penalty payment at ruin ⋮ The perturbed compound Poisson risk model with proportional investment ⋮ The optimal dividend payout model with terminal values and its application ⋮ Optimal dividends with an affine penalty ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure ⋮ Stochastic optimal control on dividend policies with bankruptcy ⋮ General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes ⋮ Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments ⋮ On a doubly reflected risk process with running maximum dependent reflecting barriers

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