Related papers: Optimal dividend policies with random profitabilit…

We consider an optimal stochastic control problem in which a firm's cash/surplus process is controlled by dividend payments and capital injections. Stockholders aim to maximize their dividend stream minus the cost of injecting capital, if…

In this paper, we study the optimal dividend problem under the continuous time diffusion model with the bounded dividend rate from the Reinforcement Learning (RL) perspective. Unlike the standard literature, our main focus will be on…

In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proportional reinsurance. We assume the preference of the insurer…

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…

We reconsider the study of optimal dividend strategies in the Cram\'er-Lundberg risk model. It is well-known that the solution of the classical dividend problem is in general a band strategy. However, the numerical techniques for the…

We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained firms. The value function is proved to be the unique viscosity solution of the associated…

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 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 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 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…

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…

In this paper we propose a new way of proving the value of a firm that is currently producing a certain product and faces the option to exit the market. The problem of optimal exiting is an optimal stopping problem, that can be solved using…

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 consider a company whose assets and liabilities evolve according to a correlated bivariate geometric Brownian motion, such as in Gerber and Shiu (2003). We determine what dividend strategy maximises the expected present…

This paper considers an insurer with two collaborating business lines that faces three critical decisions: (1) dividend payout, (2) reinsurance coverage, and (3) capital injection between the lines, in the presence of model uncertainty. The…

In this paper we continue investigating the optimal dividend and investment problems under the Sparre Andersen model. More precisely, we assume that the claim frequency is a renewal process instead of a standard compound Poisson process,…

We study the problem of optimal portfolio selection under stochastic volatility within a continuous time reinforcement learning framework with portfolio constraints. Exploration is modeled through entropy-regularized relaxed controls, where…

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 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…

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…