Related papers: Optimal dividend distribution under Markov-regime …
This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff function are introduced, where the surplus is modeled by a…
In this paper we consider a modified version of the classical optimal dividends problem of de Finetti in which the dividend payments subject to a penalty at ruin. We assume that the risk process is modeled by a general spectrally positive…
This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a…
Motivated by recent developments in risk management based on the U.S. bankruptcy code, we revisit the De Finetti's optimal dividend problem by incorporating the reorganization process and regulator's intervention documented in Chapter 11…
This paper considers the problem of consumption and investment in a financial market within a continuous time stochastic economy. The investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless…
Aiming for more realistic optimal dividend policies, we consider a stochastic control problem with linearly bounded control rates using a performance function given by the expected present value of dividend payments made up to ruin. In a…
The optimization criterion for dividends from a risky business is most often formalized in terms of the expected present value of future dividends. That criterion disregards a potential, explicit demand for stability of dividends. In…
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to…
In this work, we study a dynamic portfolio optimization problem related to pairs trading, which is an investment strategy that matches a long position in one security with a short position in another security with similar characteristics.…
In this paper we consider a classical risk process perturbed by a Brownian motion. We analyze the value function describing the mean of the cumulative discounted dividend payments paid up to Parisian ruin time and further discounted by the…
We consider the classical multi-asset Merton investment problem under drift uncertainty, i.e. the asset price dynamics are given by geometric Brownian motions with constant but unknown drift coefficients. The investor assumes a prior drift…
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present…
In the present paper, we investigate the optimal capital injection behaviour of an insurance company if the interest rate is allowed to become negative. The surplus process of the considered insurance entity is assumed to follow a Brownian…
We consider two insurance companies with endowment processes given by Brownian motions with drift. The firms can collaborate by transfer payments in order to maximize the probability that none of them goes bankrupt. We show that pushing…
In this paper, we present an optimal control problem for stochastic differential games under Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. First, we prove a sufficient maximum…
This paper concerns an optimal impulse control problem associated with a refracted L\'{e}vy process, involving the reduction of reserves to a predetermined level whenever they exceed a specified threshold. The ruin time is determined by…
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the…
We consider a portfolio optimization problem in a defaultable market with finitely-many economical regimes, where the investor can dynamically allocate her wealth among a defaultable bond, a stock, and a money market account. The market…
We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem combines features of both optimal switching and singular…
We investigate a value-maximizing problem incorporating a human behavior pattern: present-biased-ness, for a firm which navigates strategic decisions encompassing earning retention/payout and capital injection policies, within the framework…