相关论文: Semiparametric Estimation of Optimal Dividend Barr…

Estimation methods for the L\'{e}vy density of a L\'{e}vy process are developed under mild qualitative assumptions. A classical model selection approach made up of two steps is studied. The first step consists in the selection of a good…

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…

We consider the multi-refraction strategies in two equivalent versions of the optimal dividend problem in the dual (spectrally positive L\'evy) model. The first problem is a variant of the bail-out case where both dividend payments and…

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)…

We study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external…

In this paper we study the valuation problem of an insurance company by maximizing the expected discounted future dividend payments in a model with partial information that allows for a changing economic environment. The surplus process is…

In this article we consider the surplus process of an insurance company within the Cramer-Lundberg framework. We study the optimal reinsurance strategy and dividend distribution of an insurance company under proportional reinsurance, in…

This paper studies the bailout optimal dividend problem with regime switching under the constraint that dividend payments can be made only at the arrival times of an independent Poisson process while capital can be injected continuously in…

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 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 dual risk model is a popular model in finance and insurance, which is often used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for a dual risk…

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 investigate the problem of optimal strategies of dividend and reinsurance under the Cram\'{e}r-Lundberg risk model embedded with the thinning-dependence structure which was firstly introduced by Wang and Yuen (2005),…

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 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 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 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…

This paper considers an insurance company that faces two key constraints: a ratcheting dividend constraint and an irreversible reinsurance constraint. The company allocates part of its reserve to pay dividends to its shareholders while…

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 first motivation of our paper is to explore further the idea that, in risk control problems, it may be profitable to base decisions both on the position of the underlying process Xt and on its supremum Xt := sup 0$\le$s$\le$t Xs.…