Related papers: Time-inconsistent view on a dividend problem with …
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…
This paper is concerned with a time-inconsistent recursive stochastic control problems where the forward state process is constrained through an additional recursive utility system. By adapting the Ekeland variational principle, necessary…
In this paper we consider the De Finetti's optimal dividend and capital injection problem under a Markov additive model. We assume that the surplus process before dividends and capital injections follows a spectrally positive Markov…
In this paper, we study a time-inconsistent consumption-investment problem with random endowments in a possibly incomplete market under general discount functions. We provide a necessary condition and a verification theorem for an open-loop…
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 prove necessary optimality conditions of Euler-Lagrange type for a problem of the calculus of variations with time delays, where the delay in the unknown function is different from the delay in its derivative. Then, a more general…
We reprove a result concerning certain ruin in the classical problem of the probability of ruin with risky investments and several of it's generalisations. We also provide the combined transition density of the risk and investment processes…
We investigate classic diffusion with the added feature that a diffusing particle is reset to its starting point each time the particle reaches a specified threshold. In an infinite domain, this process is non-stationary and its probability…
In this paper we study the problem of optimally paying out dividends from an insurance portfolio, when the criterion is to maximize the expected discounted dividends over the lifetime of the company and the portfolio contains claims due to…
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
How does competition in markets for information affect the creation and division of surplus? We study this question in a search environment in which an agent searches sequentially for a high-quality good and learns about the quality of…
This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study…
We consider the optimal dividend problem for the insurance risk process in a general Levy process setting. The objective is to find a strategy which maximizes the expected total discounted dividends until the time of ruin. We give…
This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open problem of the general spectrally negative case and derive the…
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 the problem of designing a two-sided market (double auction) to maximize the gains from trade (social welfare) under the constraints of (dominant-strategy) incentive compatibility and budget-balance. Our goal is to do so for an…
For optimal stopping problems with time-inconsistent preference, we measure the inherent level of time-inconsistency by taking the time needed to turn the naive strategies into the sophisticated ones. In particular, when in a repeated…
Using duality theory techniques we derive simple, closed-form formulas for bounding the optimal revenue of a monopolist selling many heterogeneous goods, in the case where the buyer's valuations for the items come i.i.d. from a uniform…
The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution. In addition to the usual setting considered in…