Related papers: Asymptotic Analysis for Optimal Dividends in a Dua…
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 study maximum-likelihood-type estimation for diffusion processes when the coefficients are nonrandom and observation occurs in nonsynchronous manner. The problem of nonsynchronous observations is important when we consider the analysis…
We disucss a statistical estimation problem of an optimal dividend barrier when the surplus process follows a L\'{e}vy insurance risk process. The optimal dividend barrier is defined as the level of the barrier that maximizes the…
We consider the optimal dividend problem for the insurance risk process in a general Levy process setting. The objective is to find a strategy which maximizes the expected total discounted dividends until the time of ruin. We give…
Decision-changing imitation is a prevalent phenomenon in financial markets, where investors imitate others' decision-changing rates when making their own investment decisions. In this work, we study the optimal investment problem under the…
This study considers an optimal reinsurance, investment, and dividend strategy control problem for insurance companies in a regulated Markov regime-switching environment, intending to maximize long-run average reward. Unlike existing single…
This paper considers an insurer with two collaborating business lines that must make three critical decisions: (1) dividend payout, (2) a combination of proportional and excess-of-loss reinsurance coverage, and (3) capital injection between…
We propose a novel approach to modeling advertising dynamics for a firm operating over distributed market domain based on controlled partial differential equations of diffusion type. Using our model, we consider a general type of…
The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk measures, we give some necessary and sufficient conditions…
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment…
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…
We consider the optimal dividend problem under a habit formation constraint that prevents the dividend rate to fall below a certain proportion of its historical maximum, the so-called drawdown constraint. This is an extension of the optimal…
Tuning parameters are parameters involved in an estimating procedure for the purpose of reducing the risk of some other estimator. Examples include the degree of penalization in penalized regression and likelihood problems, as well as the…
Avanzi et al. (2016) recently studied an optimal dividend problem where dividends are paid both periodically and continuously with different transaction costs. In the Brownian model with Poissonian periodic dividend payment opportunities,…
We introduce a longevity feature to the classical optimal dividend problem by adding a constraint on the time of ruin of the firm. We extend the results in \cite{HJ15}, now in context of one-sided L\'evy risk models. We consider de…
In this paper we consider the De Finetti's optimal dividend and capital injection problem under a Markov additive model. We assume that the surplus process before dividends and capital injections follows a spectrally positive Markov…
Optimal values and solutions of empirical approximations of stochastic optimization problems can be viewed as statistical estimators of their true values. From this perspective, it is important to understand the asymptotic behavior of these…
We develop a dual-control method for approximating investment strategies in incomplete environments that emerge from the presence of trading constraints. Convex duality enables the approximate technology to generate lower and upper bounds…
We consider the bail-out optimal dividend problem under fixed transaction costs for a L\'evy risk model. Furthermore, we consider the version with a constraint expected net present value of injected capital. To characterize the solution to…