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De Finetti's optimal dividends problem with an affine penalty function at ruin

Citations

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Cited by:

  1. Florin Avram & Dan Goreac & Jean-François Renaud, 2019. "The Løkka–Zervos Alternative for a Cramér–Lundberg Process with Exponential Jumps," Risks, MDPI, vol. 7(4), pages 1-9, December.
  2. Jiyang Tan & Chun Li & Ziqiang Li & Xiangqun Yang & Bicheng Zhang, 2015. "Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 82(1), pages 61-83, August.
  3. Chongrui Zhu, 2022. "On the closed-form expected NPVs of double barrier strategies for regular diffusions," Papers 2206.08922, arXiv.org, revised Dec 2022.
  4. 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.
  5. Camilo Hernandez & Mauricio Junca & Harold Moreno-Franco, 2016. "A time of ruin constrained optimal dividend problem for spectrally one-sided L\'evy processes," Papers 1608.02550, arXiv.org, revised May 2017.
  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. Lkabous, Mohamed Amine & Wang, Zijia, 2023. "On the area in the red of Lévy risk processes and related quantities," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 257-278.
  8. Albrecher, Hansjörg & Garcia Flores, Brandon & Hipp, Christian, 2025. "Dividend corridors and a ruin constraint," Insurance: Mathematics and Economics, Elsevier, vol. 121(C), pages 1-25.
  9. Locas, Félix & Renaud, Jean-François, 2025. "Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin," Insurance: Mathematics and Economics, Elsevier, vol. 120(C), pages 189-206.
  10. Hansjoerg Albrecher & Pablo Azcue & Nora Muler, 2022. "Optimal dividends under a drawdown constraint and a curious square-root rule," Papers 2206.12220, arXiv.org.
  11. Ewa Marciniak & Zbigniew Palmowski, 2016. "On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums," Papers 1605.04584, arXiv.org.
  12. 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.
  13. 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.
  14. Wenyuan Wang & Xiang Yu & Xiaowen Zhou, 2021. "On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy," Papers 2108.01800, arXiv.org, revised Nov 2023.
  15. Albrecher Hansjörg & Bäuerle Nicole & Thonhauser Stefan, 2011. "Optimal dividend-payout in random discrete time," Statistics & Risk Modeling, De Gruyter, vol. 28(3), pages 251-276, September.
  16. 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.
  17. Hansjoerg Albrecher & Pablo Azcue & Nora Muler, 2015. "Optimal Dividend Strategies for Two Collaborating Insurance Companies," Papers 1505.03980, arXiv.org.
  18. Ronnie Loeffen & Irmina Czarna & Zbigniew Palmowski, 2011. "Parisian ruin probability for spectrally negative L\'{e}vy processes," Papers 1102.4055, arXiv.org, revised Mar 2013.
  19. Renaud, Jean-François, 2024. "A note on the optimal dividends problem with transaction costs in a spectrally negative Lévy model with Parisian ruin," Statistics & Probability Letters, Elsevier, vol. 206(C).
  20. 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.
  21. Jean-François Renaud, 2019. "De Finetti’s Control Problem with Parisian Ruin for Spectrally Negative Lévy Processes," Risks, MDPI, vol. 7(3), pages 1-11, July.
  22. Irmina Czarna & Zbigniew Palmowski, 2014. "Dividend Problem with Parisian Delay for a Spectrally Negative Lévy Risk Process," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 239-256, April.
  23. Bo, Lijun & Song, Renming & Tang, Dan & Wang, Yongjin & Yang, Xuewei, 2012. "Lévy risk model with two-sided jumps and a barrier dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 280-291.
  24. Pablo Azcue & Nora Muler & Zbigniew Palmowski, 2016. "Optimal dividend payments for a two-dimensional insurance risk process," Papers 1603.07019, arXiv.org, revised Apr 2018.
  25. 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.
  26. 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.
  27. Wenyuan Wang & Yuebao Wang & Ping Chen & Xueyuan Wu, 2022. "Dividend and Capital Injection Optimization with Transaction Cost for Lévy Risk Processes," Journal of Optimization Theory and Applications, Springer, vol. 194(3), pages 924-965, September.
  28. 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.
  29. Czarna, Irmina & Pérez, José-Luis & Yamazaki, Kazutoshi, 2018. "Optimality of multi-refraction control strategies in the dual model," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 148-160.
  30. 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.
  31. Landriault, David & Renaud, Jean-François & Zhou, Xiaowen, 2011. "Occupation times of spectrally negative Lévy processes with applications," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2629-2641, November.
  32. Koch-Medina, Pablo & Moreno-Bromberg, Santiago & Ravanelli, Claudia & Šikić, Mario, 2021. "Revisiting optimal investment strategies of value-maximizing insurance firms," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 131-151.
  33. Gajek, Lesław & Kuciński, Łukasz, 2017. "Complete discounted cash flow valuation," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 1-19.
  34. 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.
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