Optimal Ratcheting of Dividends in a Brownian Risk Model
From MaRDI portal
Publication:5092725
DOI10.1137/20M1387171zbMath1497.91331arXiv2012.10632OpenAlexW3159197018MaRDI QIDQ5092725
Pablo Azcue, Nora Muler, Hansjoerg Albrecher
Publication date: 22 July 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2012.10632
Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Corporate finance (dividends, real options, etc.) (91G50)
Related Items
Stable dividends under linear-quadratic optimisation ⋮ A Lévy risk model with ratcheting and barrier dividend strategies ⋮ Optimal dividends under a drawdown constraint and a curious square-root rule
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation
- Optimal dividends under a stochastic interest rate
- Optimal lifetime consumption and investment under a drawdown constraint
- Risk vs. profit potential:
- Controlled diffusion models for optimal dividend pay-out
- Dividends: from refracting to ratcheting
- Portfolio selection with consumption ratcheting
- Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
- Optimal singular dividend problem under the Sparre Andersen model
- On the gain of collaboration in a two dimensional ruin problem
- Optimal dividend payments for a two-dimensional insurance risk process
- Optimal dividend policy with random interest rates
- On optimal dividends: from reflection to refraction
- A Pseudo-Markov Property for Controlled Diffusion Processes
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- User’s guide to viscosity solutions of second order partial differential equations
- Approximation of Optimal Reinsurance and Dividend Payout Policies
- Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
- Optimization of the flow of dividends
- Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
- Bayesian Dividend Optimization and Finite Time Ruin Probabilities
- Strategies for Dividend Distribution: A Review
- Optimal Investment and Consumption under a Habit-Formation Constraint
- Optimal dividend policies with random profitability
- Optimal Ratcheting of Dividends in Insurance
- Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model
- Optimal dividend strategies for two collaborating insurance companies
- Stochastic Optimization in Insurance
- Optimal Dividends
- Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
- Stochastic differential equations. An introduction with applications.
