Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
From MaRDI portal
Publication:784387
DOI10.1016/j.insmatheco.2020.02.008zbMath1445.91055OpenAlexW3007753223MaRDI QIDQ784387
Publication date: 3 August 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.02.008
viscosity solutionband strategydividend and capital injectionpenalty payment at ruinquasi-variational HJB equation
Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Actuarial mathematics (91G05)
Related Items (6)
Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences ⋮ Optimal singular dividend control with capital injection and affine penalty payment at ruin ⋮ Risk modelling on liquidations with Lévy processes ⋮ General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes ⋮ Stochastic optimal control on impulse dividend model with stochastic returns ⋮ On a doubly reflected risk process with running maximum dependent reflecting barriers
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Dividends and reinsurance under a penalty for ruin
- Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
- On optimal dividends with exponential and linear penalty payments
- A numerical approach to optimal dividend policies with capital injections and transaction costs
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs
- De Finetti's optimal dividends problem with an affine penalty function at ruin
- Applied stochastic control of jump diffusions.
- Optimal dividend strategies for a risk process under force of interest
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections
- Optimal dividends in the dual model
- Dividend maximization under consideration of the time value of ruin
- A policy iteration algorithm for fixed point problems with nonexpansive operators
- Controlled diffusion models for optimal dividend pay-out
- A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
- On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
- Optimal dividends and capital injections for a spectrally positive Lévy process
- Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
- Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates
- Optimal dividend and equity issuance problem with proportional and fixed transaction costs
- Controlled Markov processes and viscosity solutions
- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
- An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
- Maximizing Dividends without Bankruptcy
- Optimal Dividends in the Dual Model with Diffusion
- Viscosity Solutions of Hamilton-Jacobi Equations
- The finite time ruin probability in a risk model with capital injections
- Some Optimal Dividends Problems
- Optimal Investment
- Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility
- On Optimal Dividend Strategies In The Compound Poisson Model
- Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes
- Stochastic Optimization in Insurance
- Optimal financing and dividend distribution in a general diffusion model with regime switching
- ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
This page was built for publication: Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
