IDEAS home Printed from https://ideas.repec.org/r/cup/astinb/v34y2004i01p49-74_01.html
   My bibliography  Save this item

Some Optimal Dividends Problems

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Avram, F. & Badescu, A.L. & Pistorius, M.R. & Rabehasaina, L., 2016. "On a class of dependent Sparre Andersen risk models and a bailout application," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 27-39.
  2. Albrecher, Hansjorg & Claramunt, M.Merce & Marmol, Maite, 2005. "On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 324-334, October.
  3. Liu, Zaiming & Li, Manman & Ameer, Sherbaz, 2009. "Methods for estimating optimal Dickson and Waters modification dividend barrier," Economic Modelling, Elsevier, vol. 26(5), pages 886-892, September.
  4. Budhi Surya & Wenyuan Wang & Xianghua Zhao & Xiaowen Zhou, 2020. "Parisian excursion with capital injection for draw-down reflected Levy insurance risk process," Papers 2005.09214, arXiv.org.
  5. Teng, Ye & Zhang, Zhimin, 2023. "On a time-changed Lévy risk model with capital injections and periodic observation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 214(C), pages 290-314.
  6. Ekaterina Bulinskaya & Boris Shigida, 2021. "Discrete-Time Model of Company Capital Dynamics with Investment of a Certain Part of Surplus in a Non-Risky Asset for a Fixed Period," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 103-121, March.
  7. Afonso, Lourdes B. & Cardoso, Rui M.R. & Egídio dos Reis, Alfredo D., 2013. "Dividend problems in the dual risk model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 906-918.
  8. F. Avram & Z. Palmowski & M. R. Pistorius, 2011. "On Gerber-Shiu functions and optimal dividend distribution for a L\'{e}vy risk process in the presence of a penalty function," Papers 1110.4965, arXiv.org, revised Jun 2015.
  9. Li, Shuanming & Lu, Yi, 2009. "The distribution of total dividend payments in a Sparre Andersen model," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1246-1251, May.
  10. Zhang, Aili & Li, Shuanming & Wang, Wenyuan, 2023. "A scale function based approach for solving integral-differential equations in insurance risk models," Applied Mathematics and Computation, Elsevier, vol. 450(C).
  11. Ekaterina Bulinskaya & Julia Gusak & Anastasia Muromskaya, 2015. "Discrete-time Insurance Model with Capital Injections and Reinsurance," Methodology and Computing in Applied Probability, Springer, vol. 17(4), pages 899-914, December.
  12. Irmina Czarna & Zbigniew Palmowski, 2010. "Dividend problem with Parisian delay for a spectrally negative L\'evy risk process," Papers 1004.3310, arXiv.org, revised Oct 2011.
  13. Yuen, Kam C. & Wang, Guojing & Li, Wai K., 2007. "The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 104-112, January.
  14. Frostig, Esther, 2005. "The expected time to ruin in a risk process with constant barrier via martingales," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 216-228, October.
  15. Eric C. K. Cheung & David Landriault, 2012. "On a Risk Model with Surplus-dependent Premium and Tax Rates," Methodology and Computing in Applied Probability, Springer, vol. 14(2), pages 233-251, June.
  16. Liang, Zhibin & Young, Virginia R., 2012. "Dividends and reinsurance under a penalty for ruin," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 437-445.
  17. Shangzhen Luo & Michael Taksar, 2011. "Minimal Cost of a Brownian Risk without Ruin," Papers 1112.4005, arXiv.org.
  18. Galina Horáková & František Slaninka & Zsolt Simonka, 2021. "The Reduction of Initial Reserves Using the Optimal Reinsurance Chains in Non-Life Insurance," Mathematics, MDPI, vol. 9(12), pages 1-20, June.
  19. Julia Eisenberg & Paul Kruhner, 2016. "The Impact of Negative Interest Rates on Optimal Capital Injections," Papers 1612.06654, arXiv.org.
  20. Federico, Salvatore & Ferrari, Giorgio & Torrente, Maria Laura, 2023. "Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost," Center for Mathematical Economics Working Papers 682, Center for Mathematical Economics, Bielefeld University.
  21. Chen, Xu & Xiao, Ting & Yang, Xiang-qun, 2014. "A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 76-83.
  22. Xu, Ran & Woo, Jae-Kyung, 2020. "Optimal dividend and capital injection strategy with a penalty payment at ruin: Restricted dividend payments," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 1-16.
  23. I. Venkat Appal Raju & S. Ramasubramanian, 2016. "Risk Diversifying Treaty Between Two Companies with Only One in Insurance Business," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 78(2), pages 183-214, November.
  24. Zhou, Zhou & Jin, Zhuo, 2020. "Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 100-108.
  25. Eisenberg, Julia & Krühner, Paul, 2018. "The impact of negative interest rates on optimal capital injections," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 1-10.
  26. Sung Soo Kim & Steve Drekic, 2016. "Ruin Analysis of a Discrete-Time Dependent Sparre Andersen Model with External Financial Activities and Randomized Dividends," Risks, MDPI, vol. 4(1), pages 1-15, February.
  27. Giorgio Ferrari & Patrick Schuhmann, 2018. "An Optimal Dividend Problem with Capital Injections over a Finite Horizon," Papers 1804.04870, arXiv.org, revised May 2019.
  28. Xie, Jie-hua & Zou, Wei, 2010. "Expected present value of total dividends in a delayed claims risk model under stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 415-422, April.
  29. Li, Shuanming & Dickson, David C.M., 2006. "The maximum surplus before ruin in an Erlang(n) risk process and related problems," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 529-539, June.
  30. Hansjoerg Albrecher & Jevgenijs Ivanovs, 2013. "Power identities for L\'evy risk models under taxation and capital injections," Papers 1310.3052, arXiv.org, revised Mar 2014.
  31. Nikolai Dokuchaev, 2013. "Optimal replication of random claims by ordinary integrals with applications in finance," Papers 1301.0381, arXiv.org, revised Jan 2013.
  32. Choi, Michael C.H. & Cheung, Eric C.K., 2014. "On the expected discounted dividends in the Cramér–Lundberg risk model with more frequent ruin monitoring than dividend decisions," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 121-132.
  33. Luo, Shangzhen & Taksar, Michael, 2012. "Minimal cost of a Brownian risk without ruin," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 685-693.
  34. Ferrari, Giorgio & Schuhmann, Patrick, 2018. "An Optimal Dividend Problem with Capital Injections over a Finite Horizon," Center for Mathematical Economics Working Papers 595, Center for Mathematical Economics, Bielefeld University.
  35. Yuguang Fan & Philip S. Griffin & Ross Maller & Alexander Szimayer & Tiandong Wang, 2017. "The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation," Risks, MDPI, vol. 5(1), pages 1-27, January.
  36. Steve Drekic & Ana Maria Mera, 2011. "Ruin Analysis of a Threshold Strategy in a Discrete-Time Sparre Andersen Model," Methodology and Computing in Applied Probability, Springer, vol. 13(4), pages 723-747, December.
  37. Loeffen, Ronnie L. & Renaud, Jean-François, 2010. "De Finetti's optimal dividends problem with an affine penalty function at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 98-108, February.
  38. Muhsin Tamturk & Sergey Utev, 2019. "Optimal Reinsurance via Dirac-Feynman Approach," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 647-659, June.
  39. Eric C.K. Cheung & Haibo Liu & Jae-Kyung Woo, 2015. "On the Joint Analysis of the Total Discounted Payments to Policyholders and Shareholders: Dividend Barrier Strategy," Risks, MDPI, vol. 3(4), pages 1-24, November.
  40. Kulenko, Natalie & Schmidli, Hanspeter, 2008. "Optimal dividend strategies in a Cramér-Lundberg model with capital injections," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 270-278, October.
  41. Frostig, Esther, 2010. "Asymptotic analysis of a risk process with high dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 21-26, August.
  42. Brill, Percy H. & Yu, Kaiqi, 2011. "Analysis of risk models using a level crossing technique," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 298-309.
  43. Jinxia Zhu & Hailiang Yang, 2015. "Optimal financing and dividend distribution in a general diffusion model with regime switching," Papers 1506.08360, arXiv.org.
  44. Vierkötter, Matthias & Schmidli, Hanspeter, 2017. "On optimal dividends with exponential and linear penalty payments," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 265-270.
  45. Wenyuan Wang & Xiaowen Zhou, 2021. "A Drawdown Reflected Spectrally Negative Lévy Process," Journal of Theoretical Probability, Springer, vol. 34(1), pages 283-306, March.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.