On optimal dividends in the dual model

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August undefined, 2024

WebCorrections. 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, … Web1 de jul. de 2007 · The optimal dividend barrier b ∗ can be found as follows. Because of (5.9), condition (6.7) with b = b ∗ becomes (6.8) ∑ k = 0 n D k = μ δ. By solving (6.6), …

On the Optimal Dividend Problem for the Dual Jump-Diffusion Model …

WebDownload scientific diagram Classical vs. dual model. from publication: On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums This paper concerns the dual risk ... 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 … church gresley history

Optimal Dividends in the Dual Model with Diffusion

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. WebThis paper considers the optimal dividend and capital injection problem for an insurance company, which controls the risk exposure by both the excess-of-loss reinsurance and … 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 ∞ ... devilman amon apocalypse

On the Optimal Dividend Problem in the Dual Model with Surplus ...

Optimal dividend strategies with time-inconsistent preferences

Web25 de jul. de 2008 · ON OPTIMAL DIVIDENDS IN THE DUAL MODEL Erhan Bayraktar, A. Kyprianou, K. Yamazaki Mathematics ASTIN Bulletin 2013 Abstract We revisit the … WebThe dual model with di usion is appropriate for companies with continuous expenses that are o set by stochastic and irregular gains. Examples include research-based or … devil makeup for halloween menWeb16 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 … church gresley nursery

"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 … " - On optimal dividends in the dual model

On optimal dividends in the dual model

Optimal dividend problems for a jump-diffusion model with …

Web1 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 … Web25 de jul. de 2008 · Although it has yet to be formally proven, we conjecture that the optimal dividend strategy in the dual model with diffusion should be the barrier strategy, …

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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 as in dual risk model under a deterministic interest rate [2, 12, 9, 10, 1]. Recently J.Eisenberg [5] published a paper on optimal dividends in the setting of a di usion ... 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.

Web14 de out. de 2008 · On the Optimal Dividend Problem for the Dual Jump-Diffusion Model Abstract: How to distribute dividends to shareholders of a company so that the … WebSocial Welfare Maximization in Two-Tier Heterogeneous Cellular Networks

Web20 de set. de 2013 · 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 … 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 ...

Web27 de fev. de 2014 · We revisit the dividend payment problem in the dual model of Avanzi et al. Using the fluctuation theory of spectrally positive Levy ... Andreas E. and …

Web1 de jul. de 2007 · Optimal dividend in the dual model is studied in Avanzi et al. (2007), Avanzi and Gerber (2008), and Bayraktar et al. (2013Bayraktar et al. ( , 2014, among others. 1 In this setting, ... devilman 1987 streaming itaWeb23 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 the transactions of capital injection are considered. The objective is to maximize the total value of the expected discounted dividends and the penalized discounted capital … church gresley infants schoolWeb3 de set. de 2024 · To characterize the solution to the aforementioned models, we first solve the optimal dividend problem with a terminal value at ruin and show the optimality of threshold strategies. Next, we introduce the dual Lagrangian problem and show that the complementary slackness conditions are satisfied, characterizing the optimal Lagrange … church gresley infant schoolWeb25 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 ... church gresley infantsWeb15 de nov. de 2010 · Optimal Dividends and Capital Injections in the Dual Model with Diffusion ASTIN Bulletin, Vol. 41, No. 2, pp. 611-644 Number of pages: 25 Posted: 25 Aug 2011 Last Revised: 06 Jan 2012 church gresley postcodeWeb1 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 … devilman apocalypseWebwith 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 … church gresley station