On optimal dividends in the dual model
Web28 de set. de 2024 · Avanzi, B., Cheung, E.C.K., Wong, B. and Woo, J.-K. (2013) On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency. ... Optimal singular dividend control with capital injection and affine penalty payment at ruin. Probability in the Engineering and Informational Sciences, p. 1. Web7 de dez. de 2016 · 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, they showed that the optimal strategy is either of the pure-continuous, pure-periodic, or …
On optimal dividends in the dual model
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Web1 de jun. de 2024 · In this manuscript we consider the dual risk model with financial application, where the random gains occur under a renewal process. We particularly work the Erlang (n) case for common ... Web31 de jan. de 2013 · Abstract: We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally positive Lévy …
Web31 de jan. de 2013 · We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally ... Final version. To appear in Insurance: Mathematics and Economics. Key words: dual model; dividends; impulse control; spectrally positive Levy processes; scale functions: Subjects: Probability … Web16 de jun. de 2011 · The dual model with diffusion is appropriate for companies with continuous expenses that are offset by stochastic and irregular gains. Examples include …
Web9 de jan. de 2024 · In the dual model, the surplus process R (without payment of dividends) with an initial capital x>0 solves the following differential equation: \begin … Webwith the optimal dividends. The HJB equation can be obtained by dynamical programming principle [1, 12]. People have studied optimal dividends in classical risk model as well …
Web17 de abr. de 2015 · By means of Laplace transforms, it is shown how the expectation of the discounted dividends until ruin can be calculated, if a barrier strategy is applied, and …
Web31 de mar. de 2014 · D. J. Yao, R. W. Wang and L. Xu, Optimal dividend and capital injection strategy with fixed costs and restricted dividend rate for a dual model, Journal of Industrial and Management Optimization, 10 (2014), 1235-1259.doi: 10.3934/jimo.2014.10.1235. list of wedding items to buyWeb15 de mai. de 2016 · This paper concerns the dual risk model, dual to the risk model for insurance applications, where premiums are surplus-dependent. In such a model premiums are regarded as costs, while claims refer to profits. We calculate the mean of the cumulative discounted dividends paid until ruin, if the barrier strategy is applied. We formulate … immunotherapy adcWeb1 de mar. de 2014 · The dual model with diffusion is appropriate for companies with continuous expenses that are offset by stochastic and irregular gains. Examples include research-based or commission-based companies. In this context, Bayraktar et al. (2013a) show that a dividend barrier strategy is optimal when dividend decisions are made … immunotherapy added to chemoWebThis paper revisits the optimal capital structure model with endogenous bankruptcy, first studied by Leland (J. Finance 49:1213–1252, 1994) and Leland and Toft ... On a Periodic Dividend Barrier Strategy in the Dual Model with Continuous Monitoring of Solvency. immunotherapy advances 影响因子Web10 de jul. de 2013 · We revisit the dividend payment problem in the dual model of Avanzi et al. ( [2–4]). Using the fluctuation theory of spectrally positive Lévy processes, we give … immunotherapy abbreviationWebThis paper studies the optimal dividend strategies of an insurance company when the manager has time-inconsistent preferences. We consider the problem for a naive manager and a sophisticated manager, and analytically derive the optimal dividend strategies when claim sizes follow an exponential distribution.Our results show that the manager with … immunotherapy adrenal insufficiencyWeb30 de nov. de 2012 · Optimal Dividends in the Dual Model with Diffusion Benjamin Avanzi, H. Gerber Mathematics 2008 In the dual model, the surplus of a company is a Levy … immunotherapy after kidney removal