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Weber, Thomas A. - 2016

We provide a technique for constructing optimal multiattribute screening contracts in a general setting with one-dimensional types based on necessary optimality conditions. Our approach allows for type-dependent participation constraints and arbitrary risk profiles. As an example we discuss...

Persistent link: https://www.econbiz.de/10012978605

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

Loeffen, Ronnie L.; Renaud, Jean-François - In: Insurance / Mathematics & economics 46 (2010) 1, pp. 98-108

Persistent link: https://www.econbiz.de/10003953307

Dividend optimization for regime-switching general diffusions

Zhu, Jinxia; Chen, Fen - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 439-456

Persistent link: https://www.econbiz.de/10010195911

Dividend optimization under reserve constraints for the Cramér-Lundberg model compounded by force of interest

Zhu, Jinxia; Chen, Feng - In: Economic modelling 46 (2015), pp. 142-156

Persistent link: https://www.econbiz.de/10011436574

Some optimal dividend problems in a Markov-modulated risk model

Li, Shuanming (contributor); Lu, Yi (contributor) - 2006

Persistent link: https://www.econbiz.de/10003297887

Some optimal dividends problems

Dickson, David C. M. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001790733

Asymptotic Analysis for Optimal Dividends in a Dual Risk Model

Fahim, Arash - 2016

The dual risk model is a popular model in finance and insurance, which is mainly used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for the dual risk model. It is well known that the value function of this...

Persistent link: https://www.econbiz.de/10013001352

Portfolio Optimization with Early Announced Discrete Dividends

Desmettre, Sascha - 2018

problem. For this, we develop a new discrete dividend model that allows for the possibility of early announcement and ensures … that the drop of the stock price at the ex-dividend date equals the dividend. The resulting portfolio problem can be solved …

Persistent link: https://www.econbiz.de/10012928171

Portfolio optimization with early announced discrete dividends

Desmettre, Sascha; Grün, Sarah; Korn, Ralf - In: Operations research letters 46 (2018) 5, pp. 548-552

Persistent link: https://www.econbiz.de/10011936705

A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time

Avram, Florin; Goreac, Dan - In: Scandinavian actuarial journal 2019 (2019) 9, pp. 799-823

Persistent link: https://www.econbiz.de/10012194999

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