On optimal periodic dividend strategies in the dual model with diffusion
From MaRDI portal
Publication:743162
DOI10.1016/J.INSMATHECO.2014.01.005zbMath1296.91143OpenAlexW3126141897MaRDI QIDQ743162
Bernard Wong, Vincent Tu, Benjamin Avanzi
Publication date: 22 September 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.01.005
Related Items (36)
Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences ⋮ A Markov decision problem in a risk model with interest rate and Markovian environment ⋮ On the improved thinning risk model under a periodic dividend barrier strategy ⋮ On optimal periodic dividend strategies for Lévy risk processes ⋮ American options under periodic exercise opportunities ⋮ Periodic threshold-type dividend strategy in the compound Poisson risk model ⋮ ON THE INTERFACE BETWEEN OPTIMAL PERIODIC AND CONTINUOUS DIVIDEND STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS ⋮ REFRACTION–REFLECTION STRATEGIES IN THE DUAL MODEL ⋮ Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes ⋮ A dividend optimization problem with constraint of survival probability in a Markovian environment model ⋮ A perturbed risk model with constant interest and periodic barrier dividend strategy ⋮ Lévy insurance risk process with Poissonian taxation ⋮ On the dual risk model with diffusion under a mixed dividend strategy ⋮ Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes ⋮ On the optimality of periodic barrier strategies for a spectrally positive Lévy process ⋮ An Optimal Control Problem in a Risk Model with Stochastic Premiums and Periodic Dividend Payments ⋮ Double continuation regions for American options under Poisson exercise opportunities ⋮ On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy ⋮ On the dual risk model with Parisian implementation delays under a mixed dividend strategy ⋮ Ruin-related problems in the dual risk model under two different randomized observations ⋮ On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes ⋮ On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models ⋮ The Leland-Toft optimal capital structure model under Poisson observations ⋮ Spectrally negative Lévy risk model under Erlangized barrier strategy ⋮ Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin ⋮ Optimal Periodic Replenishment Policies for Spectrally Positive Lévy Demand Processes ⋮ Optimal dividends under Erlang(2) inter-dividend decision times ⋮ On the optimality of joint periodic and extraordinary dividend strategies ⋮ Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models ⋮ ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS ⋮ On a spectrally negative Lévy risk process with periodic dividends and capital injections ⋮ On the Parisian ruin of the dual Lévy risk model ⋮ On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions ⋮ Diffusion approximations for insurance risk processes ⋮ Optimality of hybrid continuous and periodic barrier strategies in the dual model ⋮ Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Markov additive risk process under an Erlangized dividend barrier strategy
- The optimal dividend barrier in the gamma-omega model
- Optimal dividends in the dual model under transaction costs
- On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
- Introductory lectures on fluctuations of Lévy processes with applications.
- Randomized observation periods for the compound Poisson risk model: Dividends
- Optimal dividend-payout in random discrete time
- On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model
- Optimal Dividends in the Dual Model with Diffusion
- The dilemma between dividends and safety and a generalization of the Lundberg-Cramér formulas
- Strategies for Dividend Distribution: A Review
- ON OPTIMAL DIVIDENDS IN THE DUAL MODEL
- One‐person games of economic survival
- Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
This page was built for publication: On optimal periodic dividend strategies in the dual model with diffusion
