Related papers: On the Optimal Dividend Problem for Insurance Risk…
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…
In this article we consider the surplus process of an insurance company within the Cramer-Lundberg framework. We study the optimal reinsurance strategy and dividend distribution of an insurance company under proportional reinsurance, in…
We study an optimal dividend problem under a bankruptcy constraint. Firms face a trade-off between potential bankruptcy and extraction of profits. In contrast to previous works, general cash flow drifts, including Ornstein--Uhlenbeck and…
We consider an optimal dividend payout problem for an insurance company whose surplus follows the classical Cram\'er-Lundberg model. The dividend rate is subject to a ratcheting constraint (i.e., it must be nondecreasing over time), and the…
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…
We study the problem of optimal risk policies and dividend strategies for an insurance company operating under the constraint that the timing of shareholder payouts is governed by the arrival times of a Poisson process. Concurrently, risk…
We consider a discrete-time dividend payout problem with risk sensitive shareholders. It is assumed that they are equipped with a risk aversion coefficient and construct their discounted payoff with the help of the exponential premium…
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…
We study the problem of optimal dividend payout from a surplus process governed by Brownian motion with drift under the additional constraint of ratcheting, i.e. the dividend rate can never decrease. We solve the resulting two-dimensional…
We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed…
This paper studies an optimal dividend problem with a drawdown constraint in a Brownian motion model, requiring the dividend payout rate to remain above a fixed proportion of its historical maximum. This leads to a path-dependent stochastic…
In this paper, we consider the optimal dividend problem for a company. We describe the surplus process of the company by a diffusion model with regime switching. The aim of the company is to choose a dividend policy to maximize the expected…
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…
The paper deals with a generalization of the risk model with stochastic premiums where dependence structures between claim sizes and inter-claim times as well as premium sizes and inter-premium times are modeled by…
In this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Levy process. This model including the dual model of the classical risk model and the dual model with diffusion as…
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…
This paper considers an insurance company that faces two key constraints: a ratcheting dividend constraint and an irreversible reinsurance constraint. The company allocates part of its reserve to pay dividends to its shareholders while…
We study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external…
This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk. The default contagion is considered such that one default event may increase…
In this paper we consider the optimal dividend problem for an insurance company whose risk process evolves as a spectrally negative L\'{e}vy process in the absence of dividend payments. The classical dividend problem for an insurance…