Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Paulsen, Jostein, 1998. "Ruin theory with compounding assets -- a survey," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 3-16, May.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- repec:spr:compst:v:51:y:2000:i:1:p:1-42 is not 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.
When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:34:y:2004:i:2:p:193-225. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If references are entirely missing, you can add them using this form.