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Optimal dividends in the dual risk model under a stochastic interest rate

Cheng, Zailei - In: International journal of financial engineering 4 (2017) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10011673118

Optimality of multi-refraction control strategies in the dual model

Czarna, Irmina; Pérez, José-Luis; Yamazaki, Kazutoshi - In: Insurance / Mathematics & economics 83 (2018), pp. 148-160

Persistent link: https://www.econbiz.de/10011944122

The W,Z/ν,δ paradigm for the first passage of strong Markov processes without positive jumps

Avram, Florin; Grahovac, Danijel; Vardar-Acar, Ceren - In: Risks : open access journal 7 (2019) 1/18, pp. 1-17

As is well-known, the benefit of restricting Lévy processes without positive jumps is the “ W,Z scale functions paradigm”, by which the knowledge of the scale functions W,Z extends immediately to other risk control problems. The same is true largely for strong Markov processes X t , with...

Persistent link: https://www.econbiz.de/10012016015

Optimal dividends under Erlang(2) inter-dividend decision times

Avanzi, Benjamin; Tu, Vincent; Wong, Bernard - In: Insurance / Mathematics & economics 79 (2018), pp. 225-242

Persistent link: https://www.econbiz.de/10011825483

Company value with ruin constraint in a discrete model

Hipp, Christian - In: Risks : open access journal 6 (2018) 1, pp. 1-14

Optimal dividend payment under a ruin constraint is a two objective control problem which-in simple models-can be … levels and a closed formula for the corresponding dividend value. Using the running allowed ruin probabilities, a simple test ….2.2, also yields optimal dividend strategies which differ from those in all other methods, and Lagrange gaps are present here. …

Persistent link: https://www.econbiz.de/10011811530

On the compound binomial risk model with delayed claims and randomized dividends

Wat, Kam Pui; Yuen, Kam Chuen; Li, Wai Keung; Wu, Xueyuan - In: Risks : open access journal 6 (2018) 1, pp. 1-13

–Shiu function for a compound binomial risk model in the presence of delayed claims and a randomized dividend strategy with a zero … function, which entails a number of important quantities in ruin theory, within the framework of the compound binomial …

Persistent link: https://www.econbiz.de/10011811540

Linking dividends and capital injections : a probabilistic approach

Albrecher, Hansjörg; Ivanovs, Jevgenijs - In: Scandinavian actuarial journal (2018) 1, pp. 76-83

Persistent link: https://www.econbiz.de/10011880818

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

A note on the optimal dividends paid in a foreign currency

Eisenberg, Julia; Krühner, Paul - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 1, pp. 67-73

Persistent link: https://www.econbiz.de/10011730243

Yet more on a stochastic economic model : part 3C : stochastic bridging for share yields and dividends and interest rates

Wilkie, A. D.; Şahin, Şule - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 1, pp. 128-163

Persistent link: https://www.econbiz.de/10011730251