On the Bail-Out Optimal Dividend Problem
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Optimization Theory and Applications"
DOI: 10.1007/s10957-018-1340-3
Abstract: This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open problem of the general spectrally negative case and derive the… read more here.
Keywords: optimal dividend; dividend problem; bail optimal; dividend ... See more keywords
Optimality of refraction strategies for a constrained dividend problem
Sign Up to like & getrecommendations! Published in 2019 at "Advances in Applied Probability"
DOI: 10.1017/apr.2019.32
Abstract: Abstract We consider de Finetti’s problem for spectrally one-sided Lévy risk models with control strategies that are absolutely continuous with respect to the Lebesgue measure. Furthermore, we consider the version with a constraint on the… read more here.
Keywords: optimality refraction; refraction strategies; dividend problem; problem ... See more keywords