IDEAS home Printed from https://ideas.repec.org/r/eee/insuma/v20y1997i1p1-15.html
   My bibliography  Save this item

Controlled diffusion models for optimal dividend pay-out

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Julia Eisenberg & Stefan Kremsner & Alexander Steinicke, 2021. "Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate," Papers 2108.00234, arXiv.org.
  2. Stefan Ankirchner & Christophette Blanchet-Scalliet & Nabil Kazi-Tani & Chao Zhou, 2019. "Gambling for resurrection and the heat equation on a triangle," Working Papers hal-02405853, HAL.
  3. Peng, Xiaofan & Chen, Mi & Guo, Junyi, 2012. "Optimal dividend and equity issuance problem with proportional and fixed transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 576-585.
  4. Brinker, Leonie Violetta & Eisenberg, Julia, 2021. "Dividend optimisation: A behaviouristic approach," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 202-224.
  5. Zhao, Qian & Wei, Jiaqin & Wang, Rongming, 2014. "On dividend strategies with non-exponential discounting," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 1-13.
  6. 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.
  7. Szölgyenyi Michaela, 2015. "Dividend maximization in a hidden Markov switching model," Statistics & Risk Modeling, De Gruyter, vol. 32(3-4), pages 143-158, December.
  8. Yin, Chuancun & Yuen, Kam Chuen, 2011. "Optimality of the threshold dividend strategy for the compound Poisson model," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1841-1846.
  9. Eisenberg, Julia, 2015. "Optimal dividends under a stochastic interest rate," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 259-266.
  10. Julia Eisenberg & Paul Kruhner, 2016. "A Note on the Optimal Dividends Paid in a Foreign Currency," Papers 1603.07615, arXiv.org.
  11. Yang, Hu & Zhang, Zhimin, 2009. "The perturbed compound Poisson risk model with multi-layer dividend strategy," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 70-78, January.
  12. Zhang, Jiannan & Chen, Ping & Jin, Zhuo & Li, Shuanming, 2021. "On a class of non-zero-sum stochastic differential dividend games with regime switching," Applied Mathematics and Computation, Elsevier, vol. 397(C).
  13. Igor G. Pospelov & Stanislav A. Radionov, 2015. "Optimal Dividend Policy When Cash Surplus Follows The Telegraph Process," HSE Working papers WP BRP 48/FE/2015, National Research University Higher School of Economics.
  14. Yao, Jing-Shing & Chen, Miao-Sheng & Lu, Huei-Fu, 2006. "A fuzzy stochastic single-period model for cash management," European Journal of Operational Research, Elsevier, vol. 170(1), pages 72-90, April.
  15. Wei-han Liu, 2023. "Attaining stochastic optimal control over debt ratios in U.S. markets," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 967-993, October.
  16. Hansjoerg Albrecher & Pablo Azcue & Nora Muler, 2022. "Optimal dividends under a drawdown constraint and a curious square-root rule," Papers 2206.12220, arXiv.org.
  17. Hansjoerg Albrecher & Pablo Azcue & Nora Muler, 2020. "Optimal ratcheting of dividends in a Brownian risk model," Papers 2012.10632, arXiv.org.
  18. Yongwu Li & Zhongfei Li & Yan Zeng, 2016. "Equilibrium Dividend Strategy with Non-exponential Discounting in a Dual Model," Journal of Optimization Theory and Applications, Springer, vol. 168(2), pages 699-722, February.
  19. Jukka Isohätälä & Alistair Milne & Donald Robertson, 2020. "The Net Worth Trap: Investment and Output Dynamics in the Presence of Financing Constraints," Mathematics, MDPI, vol. 8(8), pages 1-32, August.
  20. Zhengjun Jiang & Martijn Pistorius, 2008. "Optimal dividend distribution under Markov-regime switching," Papers 0812.4978, arXiv.org, revised Apr 2011.
  21. Schal, Manfred, 1998. "On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 75-91, May.
  22. Masahiko Egami & Kazutoshi Yamazaki, 2010. "Solving Optimal Dividend Problems via Phase-Type Fitting Approximation of Scale Functions," Discussion papers e-10-011, Graduate School of Economics Project Center, Kyoto University.
  23. Yangmin Zhong & Huaping Huang, 2023. "Cash Flow Optimization on Insurance: An Application of Fixed-Point Theory," Mathematics, MDPI, vol. 11(4), pages 1-12, February.
  24. Thonhauser, Stefan & Albrecher, Hansjorg, 2007. "Dividend maximization under consideration of the time value of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 163-184, July.
  25. Yang, Hailiang & Zhang, Lihong, 2005. "Optimal investment for insurer with jump-diffusion risk process," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 615-634, December.
  26. Dassios, Angelos & Wu, Shanle, 2011. "Barrier strategies with Parisian delay," LSE Research Online Documents on Economics 32024, London School of Economics and Political Science, LSE Library.
  27. Perry, David & Berg, M. & Posner, M. J. M., 2001. "Stochastic models for broker inventory in dealership markets with a cash management interpretation," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 23-34, August.
  28. Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2018. "Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates," Papers 1806.07499, arXiv.org, revised Mar 2019.
  29. Liu, Zhang & Chen, Ping & Hu, Yijun, 2020. "On the dual risk model with diffusion under a mixed dividend strategy," Applied Mathematics and Computation, Elsevier, vol. 376(C).
  30. Meng, Hui & Siu, Tak Kuen, 2011. "On optimal reinsurance, dividend and reinvestment strategies," Economic Modelling, Elsevier, vol. 28(1-2), pages 211-218, January.
  31. Zhuo Jin & Huafu Liao & Yue Yang & Xiang Yu, 2019. "Optimal Dividend Strategy for an Insurance Group with Contagious Default Risk," Papers 1909.09511, arXiv.org, revised Oct 2020.
  32. Zhuo Jin & G. Yin, 2013. "Numerical Methods for Optimal Dividend Payment and Investment Strategies of Markov-Modulated Jump Diffusion Models with Regular and Singular Controls," Journal of Optimization Theory and Applications, Springer, vol. 159(1), pages 246-271, October.
  33. Guan, Huiqi & Liang, Zongxia, 2014. "Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 109-122.
  34. Kam C. Yuen & Yuhua Lu & Rong Wu, 2009. "The compound Poisson process perturbed by a diffusion with a threshold dividend strategy," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(1), pages 73-93, January.
  35. Julia Eisenberg & Stefan Kremsner & Alexander Steinicke, 2021. "Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate," Mathematics, MDPI, vol. 9(18), pages 1-20, September.
  36. He, Lin & Liang, Zongxia, 2008. "Optimal financing and dividend control of the insurance company with proportional reinsurance policy," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 976-983, June.
  37. 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.
  38. Yuen, Kam C. & Wang, Guojing & Li, Wai K., 2007. "The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 104-112, January.
  39. Michaela Szolgyenyi, 2016. "Dividend maximization in a hidden Markov switching model," Papers 1602.04656, arXiv.org.
  40. Gunther Leobacher & Michaela Szolgyenyi & Stefan Thonhauser, 2016. "Bayesian Dividend Optimization and Finite Time Ruin Probabilities," Papers 1602.04660, arXiv.org.
  41. Avanzi, Benjamin & Wong, Bernard, 2012. "On a mean reverting dividend strategy with Brownian motion," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 229-238.
  42. 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.
  43. Wan, Ning, 2007. "Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 509-523, May.
  44. Ernst, Philip A. & Imerman, Michael B. & Shepp, Larry & Zhou, Quan, 2022. "Fiscal stimulus as an optimal control problem," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 1091-1108.
  45. He, Lin & Liang, Zongxia, 2009. "Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 88-94, February.
  46. Liang, Zhibin & Young, Virginia R., 2012. "Dividends and reinsurance under a penalty for ruin," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 437-445.
  47. Bjarne Højgaard & Michael Taksar, 2004. "Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 315-327.
  48. Xiaoxiao Zheng & Xin Zhang, 2014. "Optimal Hybrid Dividend Strategy Under The Markovian Regime-Switching Economy," Papers 1406.7606, arXiv.org.
  49. Katia Colaneri & Julia Eisenberg & Benedetta Salterini, 2022. "Some Optimisation Problems in Insurance with a Terminal Distribution Constraint," Papers 2206.04680, arXiv.org.
  50. Larsson, Bo & Wijkander, Hans, 2019. "Banking, Capital Regulation, Risk and Dynamics," Research Papers in Economics 2019:4, Stockholm University, Department of Economics.
  51. Hernández, Camilo & Junca, Mauricio & Moreno-Franco, Harold, 2018. "A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 57-68.
  52. Ping Chen & Hailiang Yang, 2010. "Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(2), pages 125-141, March.
  53. Eisenberg, Julia & Krühner, Paul, 2022. "On Itô’s formula for semimartingales with jumps and non-C2 functions," Statistics & Probability Letters, Elsevier, vol. 184(C).
  54. Christian Hipp, 2020. "Optimal Dividend Payment in De Finetti Models: Survey and New Results and Strategies," Risks, MDPI, vol. 8(3), pages 1-27, September.
  55. Cheng, Gongpin & Zhao, Yongxia, 2016. "Optimal risk and dividend strategies with transaction costs and terminal value," Economic Modelling, Elsevier, vol. 54(C), pages 522-536.
  56. Jia-Wen Gu & Mogens Steffensen & Harry Zheng, 2018. "Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model," Mathematics of Operations Research, INFORMS, vol. 43(2), pages 377-398, May.
  57. Meng, Hui & Siu, Tak Kuen & Yang, Hailiang, 2013. "Optimal dividends with debts and nonlinear insurance risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 110-121.
  58. Hojgaard, Bjarne & Taksar, Michael, 1998. "Optimal proportional reinsurance policies for diffusion models with transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 41-51, May.
  59. Christensen, Bent Jesper & Parra-Alvarez, Juan Carlos & Serrano, Rafael, 2021. "Optimal control of investment, premium and deductible for a non-life insurance company," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 384-405.
  60. Albrecher, Hansjörg & Bäuerle, Nicole & Bladt, Martin, 2018. "Dividends: From refracting to ratcheting," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 47-58.
  61. Zhengjun Jiang & Martijn Pistorius, 2012. "Optimal dividend distribution under Markov regime switching," Finance and Stochastics, Springer, vol. 16(3), pages 449-476, July.
  62. Irgens, Christian & Paulsen, Jostein, 2004. "Optimal control of risk exposure, reinsurance and investments for insurance portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 21-51, August.
  63. Ewa Marciniak & Zbigniew Palmowski, 2018. "On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 533-552, November.
  64. Perry, David & Stadje, Wolfgang, 2000. "Risk analysis for a stochastic cash management model with two types of customers," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 25-36, February.
  65. Stefan Ankirchner & Christophette Blanchet-Scalliet & Nabil Kazi-Tani & Chao Zhou, 2021. "Gambling for resurrection and the heat equation on a triangle," Post-Print hal-02405853, HAL.
  66. Chen, Xu & Xiao, Ting & Yang, Xiang-qun, 2014. "A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 76-83.
  67. Zhang, Nan & Jin, Zhuo & Qian, Linyi & Fan, Kun, 2019. "Stochastic differential reinsurance games with capital injections," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 7-18.
  68. Zhuo Jin & Zuo Quan Xu & Bin Zou, 2020. "A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies," Papers 2012.06703, arXiv.org, revised May 2021.
  69. Xu, Ran & Woo, Jae-Kyung, 2020. "Optimal dividend and capital injection strategy with a penalty payment at ruin: Restricted dividend payments," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 1-16.
  70. Yang, Hu & Zhang, Zhimin & Lan, Chunmei, 2008. "On the time value of absolute ruin for a multi-layer compound Poisson model under interest force," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1835-1845, September.
  71. Zhu, Jinxia & Chen, Feng, 2013. "Dividend optimization for regime-switching general diffusions," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 439-456.
  72. Guo, Xin & Liu, Jun & Zhou, Xun Yu, 2004. "A constrained non-linear regular-singular stochastic control problem, with applications," Stochastic Processes and their Applications, Elsevier, vol. 109(2), pages 167-187, February.
  73. Leung, Kwai Sun & Kwok, Yue Kuen & Leung, Seng Yuen, 2008. "Finite-time dividend-ruin models," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 154-162, February.
  74. Tahir Choulli & Michael Taksar & Xun Yu Zhou, 2005. "Interplay between dividend rate and business constraints for a financial corporation," Papers math/0503541, arXiv.org.
  75. Zhou, Zhou & Jin, Zhuo, 2020. "Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 100-108.
  76. Kristoffer Lindensjö & Filip Lindskog, 2020. "Optimal dividends and capital injection under dividend restrictions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 92(3), pages 461-487, December.
  77. Peter Grandits, 2016. "Optimal Consumption Until Ruin for an Endowment Described by an Autonomous ODE for an Infinite Time Horizon," Mathematics of Operations Research, INFORMS, vol. 41(3), pages 953-968, August.
  78. Julia Eisenberg & Yuliya Mishura, 2020. "Optimising dividends and consumption under an exponential CIR as a discount factor," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 92(2), pages 285-309, October.
  79. Pekka Matomäki, 2012. "On solvability of a two-sided singular control problem," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 76(3), pages 239-271, December.
  80. Yang, Hu & Zhang, Zhimin, 2008. "Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 984-991, June.
  81. Yan, Jia & Liu, John J. & Li, Kevin X., 2008. "Threshold control of mutual insurance with limited commitment," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 108-115, August.
  82. Ewa Marciniak & Zbigniew Palmowski, 2016. "On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums," Papers 1605.04584, arXiv.org.
  83. Chonghu Guan & Jiacheng Fan & Zuo Quan Xu, 2023. "Optimal dividend payout with path-dependent drawdown constraint," Papers 2312.01668, arXiv.org.
  84. Yao, Dingjun & Yang, Hailiang & Wang, Rongming, 2014. "Optimal risk and dividend control problem with fixed costs and salvage value: Variance premium principle," Economic Modelling, Elsevier, vol. 37(C), pages 53-64.
  85. Antoine Lejay & Paolo Pigato, 2020. "Maximum likelihood drift estimation for a threshold diffusion," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 609-637, September.
  86. Zailei Cheng & Youngsoo Seol, 2018. "Gaussian Approximation of a Risk Model with Non-Stationary Hawkes Arrivals of Claims," Papers 1801.07595, arXiv.org, revised Aug 2019.
  87. 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.
  88. Runhuan Feng & Hans Volkmer & Shuaiqi Zhang & Chao Zhu, 2011. "Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model," Papers 1106.2781, arXiv.org, revised Nov 2014.
  89. José-Luis Pérez & Kazutoshi Yamazaki & Xiang Yu, 2018. "On the Bail-Out Optimal Dividend Problem," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 553-568, November.
  90. Etienne Chevalier & Vathana Ly Vath & Alexandre Roch, 2020. "Optimal Dividend and Capital Structure with Debt Covenants," Journal of Optimization Theory and Applications, Springer, vol. 187(2), pages 535-565, November.
  91. Stefan Kremsner & Alexander Steinicke & Michaela Szolgyenyi, 2020. "A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics," Papers 2010.15757, arXiv.org, revised Dec 2020.
  92. Boado-Penas, M. Carmen & Brinker, Leonie V. & Eisenberg, Julia & Korn, Ralf, 2023. "Managing reputational risk in the decumulation phase of a pension fund," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 52-68.
  93. Linlin Tian & Lihua Bai & Junyi Guo, 2020. "Optimal Singular Dividend Problem Under the Sparre Andersen Model," Journal of Optimization Theory and Applications, Springer, vol. 184(2), pages 603-626, February.
  94. Ran Xu & Wenyuan Wang & Jose Garrido, 2022. "Optimal Dividend Strategy Under Parisian Ruin with Affine Penalty," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 1385-1409, September.
  95. Julia Eisenberg & Yuliya Mishura, 2018. "An Exponential Cox-Ingersoll-Ross Process as Discounting Factor," Papers 1808.10355, arXiv.org.
  96. Chen, Mi & Peng, Xiaofan & Guo, Junyi, 2013. "Optimal dividend problem with a nonlinear regular-singular stochastic control," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 448-456.
  97. Jin, Zhuo & Yang, Hailiang & Yin, G., 2015. "Optimal debt ratio and dividend payment strategies with reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 351-363.
  98. Moore, Kristen S. & Young, Virginia R., 2006. "Optimal insurance in a continuous-time model," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 47-68, August.
  99. Kun Wu & Weixing Wu, 2016. "Optimal Controls for a Large Insurance Under a CEV Model: Based on the Legendre Transform-Dual Method," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(2), pages 167-178, December.
  100. Stefan Kremsner & Alexander Steinicke & Michaela Szölgyenyi, 2020. "A Deep Neural Network Algorithm for Semilinear Elliptic PDEs with Applications in Insurance Mathematics," Risks, MDPI, vol. 8(4), pages 1-18, December.
  101. Jiang, Zhengjun, 2019. "Optimal dividend policy when risk reserves follow a jump–diffusion process with a completely monotone jump density under Markov-regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 1-7.
  102. Sotomayor, Luz R. & Cadenillas, Abel, 2011. "Classical and singular stochastic control for the optimal dividend policy when there is regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 344-354, May.
  103. Peter Grandits, 2015. "An optimal consumption problem in finite time with a constraint on the ruin probability," Finance and Stochastics, Springer, vol. 19(4), pages 791-847, October.
  104. Hainaut, Donatien, 2017. "Contagion modeling between the financial and insurance markets with time changed processes," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 63-77.
  105. Anatoliy Swishchuk, 2021. "Merton Investment Problems in Finance and Insurance for the Hawkes-based Models," Papers 2104.02694, arXiv.org, revised May 2021.
  106. 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.
  107. Hansjörg Albrecher & Pablo Azcue & Nora Muler, 2023. "Optimal dividends under a drawdown constraint and a curious square-root rule," Finance and Stochastics, Springer, vol. 27(2), pages 341-400, April.
  108. Chonghu Guan & Zuo Quan Xu, 2023. "Optimal ratcheting of dividend payout under Brownian motion surplus," Papers 2308.15048, arXiv.org.
  109. 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.
  110. He, Lin & Hou, Ping & Liang, Zongxia, 2008. "Optimal control of the insurance company with proportional reinsurance policy under solvency constraints," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 474-479, December.
  111. Dassios, Angelos & Wu, Shanle, 2009. "On barrier strategy dividends with Parisian implementation delay for classical surplus processes," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 195-202, October.
  112. Noba, Kei, 2023. "On the optimality of the refraction–reflection strategies for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 174-217.
  113. Ying Shen & Chuancun Yin & Kam Chuen Yuen, 2011. "Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes," Papers 1101.0446, arXiv.org, revised Feb 2014.
  114. Linlin Tian & Xiaoyi Zhang, 2018. "Optimal Dividend of Compound Poisson Process under a Stochastic Interest Rate," Papers 1807.08081, arXiv.org.
  115. Julia Eisenberg & Paul Kruhner, 2018. "Suboptimal Control of Dividends under Exponential Utility," Papers 1809.01983, arXiv.org, revised Jan 2019.
  116. Bäuerle, Nicole & Jaśkiewicz, Anna, 2015. "Risk-sensitive dividend problems," European Journal of Operational Research, Elsevier, vol. 242(1), pages 161-171.
  117. T. Zajic, 2000. "Optimal Dividend Payout under Compound Poisson Income," Journal of Optimization Theory and Applications, Springer, vol. 104(1), pages 195-213, January.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.