Related papers: Optimal Dividends in the Dual Risk Model under a S…
In this paper the utility optimization problem for a general insurance model is studied. The reserve process of the insurance company is described by a stochastic differential equation driven by a Brownian motion and a Poisson random…
In this work we investigate the optimal proportional reinsurance-investment strategy of an insurance company which wishes to maximize the expected exponential utility of its terminal wealth in a finite time horizon. Our goal is to extend…
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 dual model with capital injection under the additional condition that the dividend strategy is absolutely continuous. We consider a refraction-reflection strategy that pays dividends at the maximal rate whenever the surplus is…
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…
In this paper we provide a general solution for the dividend discount model in order to compute the intrinsic value of a common stock that allows for multiple stage growth rates of any predetermined number of periods. A mathematical proof…
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 study a stock-rationing queue with two demand classes by means of the sensitivity-based optimization, and develop a complete algebraic solution to the optimal dynamic rationing policy. We show that the optimal dynamic…
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…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
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 study de Finetti's optimal dividend problem with capital injection under the assumption that the dividend strategies are absolutely continuous. In many previous studies, the process before being controlled was assumed to…
In this note, merging ideas from Loeffen (2009) and Renaud (2019), we prove that an (a,b)-strategy maximizes dividend payments subject to fixed transaction costs in a spectrally negative L\'evy model with Parisian ruin, as long as the tail…
The optimal dividend problem by De Finetti (1957) has been recently generalized to the spectrally negative L\'evy model where the implementation of optimal strategies draws upon the computation of scale functions and their derivatives. This…
We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem combines features of both optimal switching and singular…
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…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
We consider a stochastic model of investment on an asset of a stock market for a prudent investor. She decides to buy permanent goods with a fraction $\a$ of the maximum amount of money owned in her life in order that her economic level…
This paper studies the pricing of European-style Asian options when the price dynamics of the underlying risky asset are assumed to follow a Markov- modulated geometric Brownian motion; that is, the appreciation rate and the volatility of…
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…