Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
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References listed on IDEAS
- 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.
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- 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.
- Julia Eisenberg & Paul Kruhner, 2016. "A Note on the Optimal Dividends Paid in a Foreign Currency," Papers 1603.07615, arXiv.org.
- 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.
- 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.
- 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.
- Michaela Szolgyenyi, 2016. "Dividend maximization in a hidden Markov switching model," Papers 1602.04656, arXiv.org.
- Gunther Leobacher & Michaela Szolgyenyi & Stefan Thonhauser, 2016. "Bayesian Dividend Optimization and Finite Time Ruin Probabilities," Papers 1602.04660, arXiv.org.
- 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.
- Jarraya, Bilel & Bouri, Abdelfettah, 2013. "A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry," MPRA Paper 53534, University Library of Munich, Germany, revised 2013.
- Jonathan Evans & Vicky Henderson & David Hobson, 2008. "Optimal Timing For An Indivisible Asset Sale," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 545-567.
- 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.
- Benjamin Avanzi & Vincent Tu & Bernard Wong, 2016. "A Note on Realistic Dividends in Actuarial Surplus Models," Risks, MDPI, Open Access Journal, vol. 4(4), pages 1-9, October.
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