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
Optimal dividend strategies for two collaborating insurance companies
Sign Up to like & getrecommendations! Published in 2017 at "Advances in Applied Probability"
DOI: 10.1017/apr.2017.11
Abstract: Abstract We consider a two-dimensional optimal dividend problem in the context of two insurance companies with compound Poisson surplus processes, who collaborate by paying each other's deficit when possible. We study the stochastic control problem… read more here.
Keywords: optimal dividend; insurance companies; strategies two; dividend strategies ... See more keywords
Optimal dividend and proportional reinsurance strategy for the risk model with common shock dependence
Sign Up to like & getrecommendations! Published in 2024 at "Stochastic Models"
DOI: 10.1080/15326349.2024.2321195
Abstract: Abstract. This article focuses on the classic optimal dividend and reinsurance problems. Different from the existing literature, it assumes that the insurance company has two lines of business with a common shock dependence. It can… read more here.
Keywords: proportional reinsurance; optimal dividend; common shock; reinsurance ... See more keywords