Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process

DOI10.1016/J.CAM.2011.06.014zbMath1231.91044OpenAlexW2071929716MaRDI QIDQ645698

Hoi Ying Wong, Jing Zhao

Publication date: 10 November 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2011.06.014

zbMATH Keywords

Ornstein-Uhlenbeck processoccupation timebarrier strategyexcursion timeoptimal dividend policybankruptcy procedures

Mathematics Subject Classification ID

Communication networks in operations research (90B18) Games involving graphs (91A43) Computational difficulty of problems (lower bounds, completeness, difficulty of approximation, etc.) (68Q17)

Related Items (3)

Moment and polynomial bounds for ruin-related quantities in risk theory ⋮ Variance swaps under the threshold Ornstein–Uhlenbeck model ⋮ Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates

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