Optimal Ratcheting of Dividends in Insurance

DOI10.1137/19M1304878zbMath1452.91256arXiv1910.06910OpenAlexW3038306460MaRDI QIDQ5130025

Pablo Azcue, Nora Muler, Hansjoerg Albrecher

Publication date: 3 November 2020

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.06910

zbMATH Keywords

stochastic controlviscosity solutionsinsurance risk theorydividend payments

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Actuarial mathematics (91G05)

Related Items (9)

Optimal Investment and Consumption under a Habit-Formation Constraint ⋮ Optimal Ratcheting of Dividends in a Brownian Risk Model ⋮ Stable dividends under linear-quadratic optimisation ⋮ A refracted Lévy process with delayed dividend pullbacks ⋮ A Lévy risk model with ratcheting and barrier dividend strategies ⋮ Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process ⋮ Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case ⋮ Measuring the suboptimality of dividend controls in a Brownian risk model ⋮ Optimal dividends under a drawdown constraint and a curious square-root rule

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