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An optimal dividend problem with capital injections over a finite horizon
Ferrari, Giorgio; Schuhmann, Patrick - 2018
In this paper we propose and solve an optimal dividend problem with capital injections over a finite time horizon. The … dividend problem with capital injections to an optimal stopping problem for a drifted Brownian motion that is absorbed at zero … optimal stopping problem gives the derivative of the value function of the optimal dividend problem. Moreover, the optimal …
Persistent link: https://www.econbiz.de/10011892207
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A solvable two-dimensional singular stochastic control problem with non convex costs
De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John - 2016
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a stochastic real-valued spot price modelled by Brownian...
Persistent link: https://www.econbiz.de/10011517458
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A solvable two-dimensional degenerate singular stochastic control problem with non convex costs
De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John - 2014
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a stochastic real-valued spot price modelled by Brownian...
Persistent link: https://www.econbiz.de/10010438234
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A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs
De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John - In: Mathematics of operations research 44 (2019) 2, pp. 512-531
Persistent link: https://www.econbiz.de/10012028632
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Optimal dividend problem with a nonlinear regular-singular stochastic control
Chen, Mi; Peng, Xiaofan; Guo, Junyi - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 448-456
Persistent link: https://www.econbiz.de/10009763629
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Optimal dividends and ALM under unhedgeable risk
Pelsser, Antoon André Jean; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 515-523
Persistent link: https://www.econbiz.de/10010227973
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Liquidity risk and optimal dividend/investment strategies
Chevalier, Etienne; Gaïgi, M’hamed; Ly Vath, Vathana - In: Mathematics and financial economics 11 (2017) 1, pp. 111-135
Persistent link: https://www.econbiz.de/10011900519
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Some optimisation problems in insurance with a terminal distribution constraint
Colaneri, Katia; Eisenberg, Julia; Salterini, Benedetta - In: Scandinavian actuarial journal 2023 (2023) 7, pp. 655-678
Persistent link: https://www.econbiz.de/10014383890
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Optimal dividends under a drawdown constraint and a curious square-root rule
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora - In: Finance and stochastics 27 (2023) 2, pp. 341-400
Persistent link: https://www.econbiz.de/10014253644
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Optimal dividends for a two-dimensional risk model with simultaneous ruin of both branches
Strietzel, Philipp Lukas; Heinrich, Henriette Elisabeth - In: Risks : open access journal 10 (2022) 6, pp. 1-23
We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the …
Persistent link: https://www.econbiz.de/10013363123