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Optimal dividends in the dual model

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  • Avanzi, Benjamin
  • U. Gerber, Hans
  • S.W. Shiu, Elias
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4MBCB92-1/2/8747d97b7e35f1bbc01dced4b4b27abb
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 41 (2007)
    Issue (Month): 1 (July)
    Pages: 111-123

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    Handle: RePEc:eee:insuma:v:41:y:2007:i:1:p:111-123

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    Web page: http://www.elsevier.com/locate/inca/505554

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    Cited by:
    1. Meng, Hui & Siu, Tak Kuen, 2011. "On optimal reinsurance, dividend and reinvestment strategies," Economic Modelling, Elsevier, vol. 28(1), pages 211-218.
    2. Zhu, Jinxia & Yang, Hailiang, 2009. "On differentiability of ruin functions under Markov-modulated models," Stochastic Processes and their Applications, Elsevier, vol. 119(5), pages 1673-1695, May.
    3. Hongshuai Dai & Zaiming Liu & Nana Luan, 2010. "Optimal dividend strategies in a dual model with capital injections," Computational Statistics, Springer, vol. 72(1), pages 129-143, August.
    4. Feng, Runhuan, 2009. "On the total operating costs up to default in a renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 305-314, October.
    5. Gerber, Hans U. & Smith, Nathaniel, 2008. "Optimal dividends with incomplete information in the dual model," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 227-233, October.
    6. Yin, Chuancun & Wen, Yuzhen, 2013. "Optimal dividend problem with a terminal value for spectrally positive Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 769-773.
    7. Albrecher, Hansjörg & Badescu, Andrei & Landriault, David, 2008. "On the dual risk model with tax payments," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1086-1094, June.
    8. Afonso, Lourdes B. & Cardoso, Rui M.R. & Egídio dos Reis, Alfredo D., 2013. "Dividend problems in the dual risk model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 906-918.
    9. Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi, 2014. "Optimal dividends in the dual model under transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 133-143.
    10. Avanzi, Benjamin & Cheung, Eric C.K. & Wong, Bernard & Woo, Jae-Kyung, 2013. "On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 98-113.
    11. Yang, Chen & Sendova, Kristina P., 2014. "The ruin time under the Sparre-Andersen dual model," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 28-40.
    12. Peng, Dan & Liu, Donghai & Liu, Zaiming, 2013. "Dividend problems in the dual risk model with exponentially distributed observation time," Statistics & Probability Letters, Elsevier, vol. 83(3), pages 841-849.
    13. Liu, Xiao & Chen, Zhenlong, 2014. "Dividend problems in the dual model with diffusion and exponentially distributed observation time," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 175-183.
    14. Yao, Dingjun & Yang, Hailiang & Wang, Rongming, 2011. "Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs," European Journal of Operational Research, Elsevier, vol. 211(3), pages 568-576, June.
    15. Schmidli, Hanspeter, 2010. "Conditional law of risk processes given that ruin occurs," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 281-289, April.
    16. Ng, Andrew C.Y., 2009. "On a dual model with a dividend threshold," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 315-324, April.
    17. Erhan Bayraktar & Masahiko Egami, 2008. "Optimizing venture capital investments in a jump diffusion model," Computational Statistics, Springer, vol. 67(1), pages 21-42, February.
    18. Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki, 2012. "On optimal dividends in the dual model," Papers 1211.7365, arXiv.org, revised Jun 2013.
    19. Chuancun Yin & Yuzhen Wen, 2013. "Optimal dividends problem with a terminal value for spectrally positive Levy processes," Papers 1302.6011, arXiv.org.
    20. Chuancun Yin & Yuzhen Wen & Yongxia Zhao, 2013. "On the optimal dividend problem for a spectrally positive Levy process," Papers 1302.2231, arXiv.org, revised Mar 2014.

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