Related papers: On the optimal dividend problem for a spectrally p…

We study the optimal dividend problem for a firm's manager who has partial information on the profitability of the firm. The problem is formulated as one of singular stochastic control with partial information on the drift of the underlying…

In this paper we propose a new model for pricing stock and dividend derivatives. We jointly specify dynamics for the stock price and the dividend rate such that the stock price is positive and the dividend rate non-negative. In its simplest…

This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon. The goal of the company is to maximize the expected cumulative discounted dividend payouts until bankruptcy or…

We investigate the problem of optimal dividend distribution for a company in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a Brownian motion with positive drift that is modulated by a finite…

This paper is concerned with a long standing optimal dividend payout problem subject to the so-called ratcheting constraint, that is, the dividend payout rate shall be non-decreasing over time and is thus self-path-dependent. The surplus…

This paper studies an optimal dividend problem for a company that aims to maximize the mean-variance (MV) objective of the accumulated discounted dividend payments up to its ruin time. The MV objective involves an integral form over a…

We revisit a stochastic control problem of optimally modifying the underlying spectrally negative Levy process. A strategy must be absolutely continuous with respect to the Lebesgue measure, and the objective is to minimize the total costs…

This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest…

Dual risk models are popular for modeling a venture capital or high tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrated…

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…

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…

We study two-armed Levy bandits in continuous-time, which have one safe arm that yields a constant payoff s, and one risky arm that can be either of type High or Low; both types yield stochastic payoffs generated by a Levy process. The…

This paper studies a class of optimal multiple stopping problems driven by L\'evy processes. Our model allows for a negative effective discount rate, which arises in a number of financial applications, including stock loans and real…

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…

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…

The first motivation of our paper is to explore further the idea that, in risk control problems, it may be profitable to base decisions both on the position of the underlying process Xt and on its supremum Xt := sup 0$\le$s$\le$t Xs.…

We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and flood. The catastrophe risk could be partly reduced by…

In this paper, we study the dividend strategies for a shareholder with non-constant discount rate in a diffusion risk model. We assume that the dividends can only be paid at a bounded rate and restrict ourselves to the Markov strategies.…

In this paper, we consider the optimal dividend problem of the renewal risk model with phase-type distributed interclaim times and exponentially distributed claim sizes. Assume that the phases of the interclaim times can be observed. We…

In this paper, we investigate the problem of optimal strategies of dividend and reinsurance under the Cram\'{e}r-Lundberg risk model embedded with the thinning-dependence structure which was firstly introduced by Wang and Yuen (2005),…