Related papers: Equilibrium Strategies for Singular Dividend Contr…
We study a De Finetti's optimal dividend and capital injection problem under a Markov additive model. The surplus process without dividend and capital injection is assumed to follow a spectrally positive Markov additive process (MAP).…
In this paper we consider a modified version of the classical optimal dividends problem of de Finetti in which the dividend payments subject to a penalty at ruin. We assume that the risk process is modeled by a general spectrally positive…
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…
This paper considers an optimal control of a big financial company with debt liability under bankrupt probability constraints. The company, which faces constant liability payments and has choices to choose various production/business…
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…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
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…
This paper studies De Finetti's optimal dividend problem with capital injection under spectrally positive Markov additive models. Based on dynamic programming principle, we first study an auxiliary singular control problem with a final…
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…
Avanzi et al. (2016) recently studied an optimal dividend problem where dividends are paid both periodically and continuously with different transaction costs. In the Brownian model with Poissonian periodic dividend payment opportunities,…
This paper considers an optimal dividend distribution problem for an insurance company where the dividends are paid in a foreign currency. In the absence of dividend payments, our risk process follows a spectrally negative L\'evy process.…
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…
We consider a diffusive model for optimally distributing dividends, while allowing for Knightian model ambiguity concerning the drift of the surplus process. We show that the value function is the unique solution of a non-linear…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…
In this paper, we propose a new class of optimization problems, which maximize the terminal wealth and accumulated consumption utility subject to a mean variance criterion controlling the final risk of the portfolio. The multiple-objective…
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 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…
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…
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 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…