Related papers: On optimal dividends in the dual model

We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate. The insurer seeks an optimal strategy to maximize…

In this paper, we examine a modified version of de Finetti's optimal dividend problem, incorporating fixed transaction costs and altering the surplus process by introducing two-valued drift and two-valued volatility coefficients. This…

This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study…

We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process is described by a diffusion model with constant…

In this paper we propose and solve an optimal dividend problem with capital injections over a finite time horizon. The surplus dynamics obeys a linearly controlled drifted Brownian motion that is reflected at the origin, dividends give rise…

This paper investigates a dividend optimization problem with a positive creeping-associated terminal value at ruin for spectrally negative Levy processes. We consider an insurance company whose surplus process evolves according to a…

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…

In this paper we solve the dividend optimization problem for a corporation or a financial institution when the managers of the corporation are facing (regulatory) implementation delays. We consider several cash reservoir models for the firm…

We consider a discrete-time version of the popular optimal dividend pay-out problem in risk theory. The novel aspect of our approach is that we allow for a risk averse insurer, i.e., instead of maximising the expected discounted dividends…

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 solve the stochastic control problem…

In this paper, we consider the mixed ratcheting-periodic dividend strategies for spectrally negative L\'{e}vy risk model, in which dividend payments can both be made continuously without falling and discretely at the jump times of an…

We consider the problem of maximizing the discounted utility of dividend payments of an insurance company whose reserves are modeled as a classical Cram\'er-Lundberg risk process. We investigate this optimization problem under the…

Given a spectrally negative L\'evy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever it is above it. We also consider the versions with…

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 revisit the optimization problem solved in L{\o}kka & Zervos (2008), i.e., the maximization of dividends, in a Brownian risk model, with the possibility (not the obligation) of making capital injections. Following the approach introduced…

This paper studies the dividend and capital injection problem under a diffusion risk model with general discount functions. A proportional cost is imposed when injecting capitals. For exponential discounting as time-consistent benchmark, we…

In this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practical optimization problems faced by a company that can control…

We address a long-standing open problem in risk theory, namely the optimal strategy to pay out dividends from an insurance surplus process, if the dividend rate can never be decreased. The optimality criterion here is to maximize the…

We study the optimal bailout dividend problem with transaction costs for an insurance company, where shareholder payouts align with the arrival times of an independent Poisson process. In this scenario, the underlying risk model follows a…

The recent papers Gajek-Kucinsky(2017) and Avram-Goreac-Li-Wu(2020) investigated the control problem of optimizing dividends when limiting capital injections stopped upon bankruptcy. The first paper works under the spectrally negative…