On optimal dividends in the dual model

Author: jdax

August undefined, 2024

WebThis 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. 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 …

OPTIMAL DIVIDENDS IN THE DUAL RISK MODEL UNDER A …

WebWe revisit the dividend payment problem in the dual model of Avanzi et al. ([2â€“4]). Using the fluctuation theory of spectrally positive LÃ©vy processes, we give a short exposition … 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 … black and gold fireworks

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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 … 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 … 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 … black and gold fireplace screen

Optimal Dividends in the Dual Model with Diffusion

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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, ... 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 … dave brown engine mount chartWebwith 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 ... dave brown facebook hull

"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 … " - On optimal dividends in the dual model

On optimal dividends in the dual model

Optimal dividend problems for a jump-diffusion model with …

Web15 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 … Web14 de out. de 2008 · How to distribute dividends to shareholders of a company so that the expectation of the discounted dividends can be maximized is a classical actuarial problem. Different from many papers which focus on the insurance company, this paper discusses the optimal dividend problem for another kind of company, which specializes in inventions …

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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 …

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 … Web9 de ago. de 2013 · We determine the optimal dividend and (unconstrained) capital injection strategy (among all possible strategies) when jumps are hyperexponential. This …

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 … 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 capital injection based on the symmetry of risk information. Besides the proportional transaction cost, we also incorporate the fixed transaction cost incurred by capital …

Web15 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

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 … black and gold face paintWeb20 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 … black and gold fit and flare cocktail dressWeb10 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 … black and gold fitted homecoming dressWebDownload 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 ... black and gold fireplace tv standWeb30 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 … black and gold flannel shirt girlsWebwith 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 … black and gold flannel shirt motorcycleWeb3 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 … black and gold flannel pants