Measuring the suboptimality of dividend controls in a Brownian risk model

DOI10.1017/APR.2023.6OpenAlexW4379797867MaRDI QIDQ6198074

Julia Eisenberg, Paul Krühner

Publication date: 20 February 2024

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/apr.2023.6

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsuboptimal controlexponential utility functiondividend payouts

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial mathematics (91G05)

Cites Work

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• Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
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• A change-of-variable formula with local time on curves
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Optimal expected exponential utility of dividend payments in a Brownian risk model
• Strategies for Dividend Distribution: A Review
• Optimal Ratcheting of Dividends in Insurance
• Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance

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