Optimal Dividends in the Dual Model with Diffusion

Citations

Cited by:

1. Brinker, Leonie Violetta & Eisenberg, Julia, 2021. "Dividend optimisation: A behaviouristic approach," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 202-224.
2. Jean-Franc{c}ois Renaud & Alexandre Roch & Clarence Simard, 2023. "An optimization dichotomy for capital injections and absolutely continuous dividend strategies," Papers 2311.10191, arXiv.org.
3. Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi, 2014. "Optimal dividends in the dual model under transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 133-143.
4. 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.
5. Yang, Chen & Sendova, Kristina P. & Li, Zhong, 2020. "Parisian ruin with a threshold dividend strategy under the dual Lévy risk model," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 135-150.
6. Ewa Marciniak & Zbigniew Palmowski, 2016. "On the Optimal Dividend Problem for Insurance Risk Models with Surplus-Dependent Premiums," Journal of Optimization Theory and Applications, Springer, vol. 168(2), pages 723-742, February.
7. Avanzi, Benjamin & Tu, Vincent & Wong, Bernard, 2014. "On optimal periodic dividend strategies in the dual model with diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 210-224.
8. Liu, Zhang & Chen, Ping & Hu, Yijun, 2020. "On the dual risk model with diffusion under a mixed dividend strategy," Applied Mathematics and Computation, Elsevier, vol. 376(C).
9. Meng, Hui & Siu, Tak Kuen, 2011. "On optimal reinsurance, dividend and reinvestment strategies," Economic Modelling, Elsevier, vol. 28(1-2), pages 211-218, January.
   • Meng, Hui & Siu, Tak Kuen, 2011. "On optimal reinsurance, dividend and reinvestment strategies," Economic Modelling, Elsevier, vol. 28(1), pages 211-218.
10. Guan, Huiqi & Liang, Zongxia, 2014. "Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 109-122.
11. Pérez, José-Luis & Yamazaki, Kazutoshi, 2017. "On the optimality of periodic barrier strategies for a spectrally positive Lévy process," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 1-13.
12. Ewa Marciniak & Zbigniew Palmowski, 2016. "On the Optimal Dividend Problem for Insurance Risk Models with Surplus-Dependent Premiums," Papers 1604.06892, arXiv.org.
13. Czarna, Irmina & Pérez, José-Luis & Yamazaki, Kazutoshi, 2018. "Optimality of multi-refraction control strategies in the dual model," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 148-160.
14. Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi, 2013. "On Optimal Dividends In The Dual Model," ASTIN Bulletin, Cambridge University Press, vol. 43(3), pages 359-372, September.
    • Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki, 2012. "On optimal dividends in the dual model," Papers 1211.7365, arXiv.org, revised Jun 2013.
15. Yongxia Zhao & Rongming Wang & Dingjun Yao & Ping Chen, 2015. "Optimal Dividends and Capital Injections in the Dual Model with a Random Time Horizon," Journal of Optimization Theory and Applications, Springer, vol. 167(1), pages 272-295, October.
16. Ewa Marciniak & Zbigniew Palmowski, 2018. "On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 533-552, November.
17. Avanzi, Benjamin & Cheung, Eric C.K. & Wong, Bernard & Woo, Jae-Kyung, 2013. "On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 98-113.
18. Ng, Andrew C.Y., 2009. "On a dual model with a dividend threshold," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 315-324, April.
19. Zhao, Yongxia & Chen, Ping & Yang, Hailiang, 2017. "Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 135-146.
20. Zhuo Jin & Zuo Quan Xu & Bin Zou, 2020. "A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies," Papers 2012.06703, arXiv.org, revised May 2021.
21. 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.
22. Jos'e-Luis P'erez & Kazutoshi Yamazaki, 2016. "Hybrid continuous and periodic barrier strategies in the dual model: optimality and fluctuation identities," Papers 1612.02444, arXiv.org, revised Jan 2018.
23. Yin, Chuancun & Wen, Yuzhen, 2013. "Optimal dividend problem with a terminal value for spectrally positive Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 769-773.
24. Ewa Marciniak & Zbigniew Palmowski, 2016. "On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums," Papers 1605.04584, arXiv.org.
25. Chen, Shumin & Wang, Xi & Deng, Yinglu & Zeng, Yan, 2016. "Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 27-37.
26. Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang, 2013. "Valuing equity-linked death benefits in jump diffusion models," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 615-623.
27. Liu, Xiao & Chen, Zhenlong, 2014. "Dividend problems in the dual model with diffusion and exponentially distributed observation time," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 175-183.
28. Ran Xu & Wenyuan Wang & Jose Garrido, 2022. "Optimal Dividend Strategy Under Parisian Ruin with Affine Penalty," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 1385-1409, September.
29. Tao Sun & Xinqiu Zhang, 2024. "Laplace Transformation of the Ruin Time for a Risk Model with a Parisian Implementation Delay," Mathematics, MDPI, vol. 12(4), pages 1-12, February.
30. Peng, Dan & Liu, Donghai & Liu, Zaiming, 2013. "Dividend problems in the dual risk model with exponentially distributed observation time," Statistics & Probability Letters, Elsevier, vol. 83(3), pages 841-849.
31. Chuancun Yin & Kam Chuen Yuen, 2014. "Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs," Papers 1409.0407, arXiv.org.