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Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE

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  • Hubalek, Friedrich
  • Schachermayer, Walter

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  • Hubalek, Friedrich & Schachermayer, Walter, 2004. "Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 193-225, April.
  • Handle: RePEc:eee:insuma:v:34:y:2004:i:2:p:193-225
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    References listed on IDEAS

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    1. Paulsen, Jostein, 1998. "Ruin theory with compounding assets -- a survey," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 3-16, May.
    2. Siegl, Thomas & F. Tichy, Robert, 2000. "Ruin theory with risk proportional to the free reserve and securitization," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 59-73, February.
    3. Asmussen, Soren & Taksar, Michael, 1997. "Controlled diffusion models for optimal dividend pay-out," Insurance: Mathematics and Economics, Elsevier, vol. 20(1), pages 1-15, June.
    4. Bjarne Hø Jgaard & Michael Taksar, 1999. "Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 153-182, April.
    5. Michael I. Taksar, 2000. "Optimal risk and dividend distribution control models for an insurance company," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 51(1), pages 1-42, February.
    6. Albrecher, Hansjörg & Kainhofer, Reinhold & Tichy, Robert F., 2003. "Simulation methods in ruin models with non-linear dividend barriers," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 62(3), pages 277-287.
    7. Taksar, Michael I. & Zhou, Xun Yu, 1998. "Optimal risk and dividend control for a company with a debt liability," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 105-122, May.
    8. Siegl, Thomas & Tichy, Robert F., 1999. "A process with stochastic claim frequency and a linear dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 51-65, March.
    9. Gjessing, Håkon K. & Paulsen, Jostein, 1997. "Present value distributions with applications to ruin theory and stochastic equations," Stochastic Processes and their Applications, Elsevier, vol. 71(1), pages 123-144, October.
    10. Waldmann, K. -H., 1988. "On optimal dividend payments and related problems," Insurance: Mathematics and Economics, Elsevier, vol. 7(4), pages 237-249, December.
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    Citations

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    Cited by:

    1. Brinker, Leonie Violetta & Eisenberg, Julia, 2021. "Dividend optimisation: A behaviouristic approach," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 202-224.
    2. Szölgyenyi Michaela, 2015. "Dividend maximization in a hidden Markov switching model," Statistics & Risk Modeling, De Gruyter, vol. 32(3-4), pages 143-158, December.
    3. Julia Eisenberg & Paul Kruhner, 2016. "A Note on the Optimal Dividends Paid in a Foreign Currency," Papers 1603.07615, arXiv.org.
    4. Decamps, Marc & De Schepper, Ann & Goovaerts, Marc, 2009. "Spectral decomposition of optimal asset-liability management," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 710-724, March.
    5. Michaela Szolgyenyi, 2016. "Dividend maximization in a hidden Markov switching model," Papers 1602.04656, arXiv.org.
    6. Gunther Leobacher & Michaela Szolgyenyi & Stefan Thonhauser, 2016. "Bayesian Dividend Optimization and Finite Time Ruin Probabilities," Papers 1602.04660, arXiv.org.
    7. Bilel Jarraya & Abdelfettah Bouri, 2013. "A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 2(4), pages 30-44, October.
    8. Sebastian Baran & Corina Constantinescu & Zbigniew Palmowski, 2023. "Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk Process," Risks, MDPI, vol. 11(4), pages 1-16, March.
    9. Julia Eisenberg & Paul Kruhner, 2018. "Suboptimal Control of Dividends under Exponential Utility," Papers 1809.01983, arXiv.org, revised Jan 2019.
    10. Albrecher, Hansjorg & Claramunt, M.Merce & Marmol, Maite, 2005. "On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 324-334, October.
    11. Decamps, Marc & De Schepper, Ann & Goovaerts, Marc, 2006. "A path integral approach to asset-liability management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 404-416.
    12. Xiaoqing Liang & Zbigniew Palmowski, 2016. "A note on optimal expected utility of dividend payments with proportional reinsurance," Papers 1605.06849, arXiv.org, revised May 2017.
    13. Pelsser, Antoon A.J. & Laeven, Roger J.A., 2013. "Optimal dividends and ALM under unhedgeable risk," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 515-523.
    14. Jonathan Evans & Vicky Henderson & David Hobson, 2008. "Optimal Timing For An Indivisible Asset Sale," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 545-567, October.
    15. Zbigniew Palmowski & Sebastian Baran, 2011. "Optimizing expected utility of dividend payments for a Cram\'er-Lundberg risk proces," Papers 1110.5446, arXiv.org, revised May 2017.
    16. Benjamin Avanzi & Vincent Tu & Bernard Wong, 2016. "A Note on Realistic Dividends in Actuarial Surplus Models," Risks, MDPI, vol. 4(4), pages 1-9, October.

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