Related papers: A Note on the Optimal Dividends Paid in a Foreign …
Portfolio optimisation typically aims to provide an optimal allocation that minimises risk, at a given return target, by diversifying over different investments. However, the potential scope of such risk diversification can be limited if…
We consider in this paper the optimal dividend problem for an insurance company whose uncontrolled reserve process evolves as a classical Cram\'{e}r--Lundberg process. The firm has the option of investing part of the surplus in a…
In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time $T$ follows a normal distribution with a given mean and a given variance. In both…
In this paper, we study a risk process modeled by a Brownian motion with drift (the diffusion approximation model). The insurance entity can purchase reinsurance to lower its risk and receive cash injections at discrete times to avoid ruin.…
In this paper we study the problem of optimal dividend payment strategy which maximizes the expected discounted sum of dividends to a multidimensional set up of n associated insurance companies where the surplus process follows an…
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…
Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose…
We study the optimal dividend problem in the dual model where dividend payments can only be made at the jump times of an independent Poisson process. In this context, Avanzi et al. [5] solved the case with i.i.d. hyperexponential jumps;…
This paper concerns an optimal dividend distribution problem for an insurance company whose risk process evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments). The management of the company is assumed to…
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 this paper we assume the insurance wealth process is driven by the compound Poisson process. The discounting factor is modelled as a geometric Brownian motion at first and then as an exponential function of an integrated…
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…
This paper studies a general L\'evy process model of the bail-out optimal dividend problem with an exponential time horizon, and further extends it to the regime-switching model. We first show the optimality of a double barrier strategy in…
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…
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 study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the presence of the restriction that the surplus process must be above a given dividend payout…
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 consider a two-dimensional optimal dividend problem in the context of two branches of an insurance company with compound Poisson surplus processes dividing claims and premia in some specified proportions. We solve the stochastic control…
We study a De Finetti's optimal dividend and capital injection problem under a Markov additive model. The surplus process without dividend and capital injection is assumed to follow a spectrally positive Markov additive process (MAP).…