On optimal dividends in the dual model
Web23 de set. de 2014 · This paper investigates an optimal dividend and capital injection problem in the dual model with a random horizon. Both fixed and proportional costs from … Web1 de mar. de 2014 · We study optimal periodic dividend strategies in the dual model with diffusion. Dividends are paid at random time intervals but ruin can happen at any time. A …
On optimal dividends in the dual model
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WebThis 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 … Web13 de jan. de 2016 · Download PDF Abstract: 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 the dual risk model. It is well known that the value function of this optimal control …
Web16 de fev. de 2024 · The model. The dual compound Poisson risk process { UD ( t )} t ≥ 0 (in the absence of dividends) is defined by U D ( t) = u − c t + ∑ i = 1 N ( t) Y i, t ≥ 0, where u = U D ( 0) ≥ 0 is the initial surplus, c > 0 is the constant expense rate per unit time, { N ( t )} t ≥ 0 is a Poisson process with rate λ > 0, and { Y i } i = 1 ∞ ... Web23 de mai. de 2024 · Download PDF Abstract: Optimal dividend strategy in dual risk model is well studied in the literatures. But to the best of our knowledge, all the previous …
WebOptimal dividend strategy in dual risk model is well studied in the literatures. But to the best of our knowledge, all the previous works assumes deterministic interest rate. In this paper, we study the optimal dividends strategy in dual risk model, under a stochastic interest rate, assuming the discounting factor follows a geometric Brownian motion or … 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 …
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 …
Web30 de nov. de 2012 · On optimal dividends in the dual model CC BY 4.0 Authors: Erhan Bayraktar University of Michigan Andreas E. Kyprianou The University of Warwick … candy counter curious georgeWeb1 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 … candy cotton sodaWeb28 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. fishtec fishing storeWebCorrections. All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, … candy counterWeb31 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 … fishtech group + herjavec groupWeb10 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 … fishtech group companyWeb25 de jul. de 2008 · Note that the dual model with diffusion in Avanzi and Gerber (2008) corresponds to the case in which Π (dx) = λF (dx), where λ > 0 is the Poisson parameter and F is the distribution of ... candy counting contest