Optimal dividend policies for compound Poisson processes: The case of bounded dividend rates
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- Kristin Reikvam & Fred Espen Benth & Kenneth Hvistendahl Karlsen, 2001. "Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach," Finance and Stochastics, Springer, vol. 5(3), pages 275-303.
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- 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.
- Chen, Shumin & Li, Zhongfei & Zeng, Yan, 2014. "Optimal dividend strategies with time-inconsistent preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 150-172.
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KeywordsCramér–Lundberg process; Insurance; Bounded dividend rates; Optimal investment policy; Hamilton–Jacobi–Bellman equation; Viscosity solution; Risk control; Threshold strategy; Band strategy;
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy
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