Related papers: Optimal bail-out dividends problem with transactio…
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…
Motivated by recent developments in risk management based on the U.S. bankruptcy code, we revisit the De Finetti's optimal dividend problem by incorporating the reorganization process and regulator's intervention documented in Chapter 11…
Adopting a probabilistic approach we determine the optimal dividend payout policy of a firm whose surplus process follows a controlled arithmetic Brownian motion and whose cash-flows are discounted at a stochastic dynamic rate. Dividends…
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…
We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…
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 re-visit the classical problem of optimal payment of dividends and determine the degree to which the diffusion approximation serves as a valid approximation of the classical risk model for this problem. Our results parallel some of those…
In this paper, we consider the optimal dividends problem for a company whose cash reserves follow a general Levy process with certain positive jumps and arbitrary negative jumps. The objective is to find a policy which maximizes the…
In this paper, we study an optimal excess-of-loss reinsurance and investment problem for an insurer in defaultable market. The insurer can buy reinsurance and invest in the following securities: a bank account, a risky asset with stochastic…
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…
The classical optimal trading problem is the closure of a position in an asset over a time interval; the trader maximizes an expected utility under the constraint that the position be fully closed by terminal time. Since the asset price is…
We consider de Finetti's optimal dividends problem with absolutely continuous strategies in a spectrally negative L\'evy model with Parisian ruin as the termination time. The problem considered is essentially a generalization of both the…
This paper concerns an optimal dividend distribution problem for an insurance company with surplus-dependent premium. In the absence of dividend payments, such a risk process is a particular case of so-called piecewise deterministic Markov…
Maximising dividends is one classical stability criterion in actuarial risk theory. Motivated by the fact that dividends are paid periodically in real life, $\textit{periodic}$ dividend strategies were recently introduced (Albrecher, Gerber…
We consider an investor that trades continuously and wants to liquidate an initial asset position within a prescribed time interval. During the execution of the liquidation order the investor is subject to execution risk. We study the…
We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative. More specific, we solve the stochastic control problem of maximizing…
We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding…
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
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…