Related papers: Optimal Ratcheting of Dividends with Irreversible …
We address a long-standing open problem in risk theory, namely the optimal strategy to pay out dividends from an insurance surplus process, if the dividend rate can never be decreased. The optimality criterion here is to maximize the…
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…
This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected present value of the dividend pay-outs…
We consider the optimal dividend problem under a habit formation constraint that prevents the dividend rate to fall below a certain proportion of its historical maximum, the so-called drawdown constraint. This is an extension of the optimal…
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon. The goal of the company is to maximize the expected cumulative discounted dividend payouts until bankruptcy or…
The aim of this paper is to introduce an insurance model allowing reinsurance and dividend payment. Our model deals with several homogeneous contracts and takes into account the legislation regarding the provisions to be justified by the…
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 considers an insurer with two collaborating business lines, and the risk exposure of each line follows a diffusion risk model. The manager of the insurer makes three decisions for each line: (i) dividend payout, (ii)…
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 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…
This paper is concerned with a long standing optimal dividend payout problem subject to the so-called ratcheting constraint, that is, the dividend payout rate shall be non-decreasing over time and is thus self-path-dependent. The surplus…
We consider a two-dimensional optimal dividend problem in the context of two branches of an insurance company with compound Poisson surplus processes dividing claims and premia in some specified proportions. We solve the stochastic control…
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…
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency…
We consider a two-dimensional optimal dividend problem in the context of two insurance companies with compound Poisson surplus processes, who collaborate by paying each other's deficit when possible. We solve the stochastic control problem…
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…
The present paper addresses the issue of the stochastic control of the optimal dynamic reinsurance policy and dynamic dividend strategy, which are state-dependent, for an insurance company that operates under multiple insurance lines of…
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…
In this paper we address the problem of optimal dividend payout strategies from a surplus process governed by Brownian motion with drift under a drawdown constraint, i.e. the dividend rate can never decrease below a given fraction $a$ of…
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…