On optimal dividends in the dual model
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 … Web30 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 …
On optimal dividends in the dual model
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Web9 de ago. de 2013 · We determine the optimal dividend and (unconstrained) capital injection strategy (among all possible strategies) when jumps are hyperexponential. This … 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.
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 … 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 …
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 … Web10 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 …
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 …
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, … darien clary austin isdWeb1 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 … darien county ga gisWebon optimal dividends in the dual model ERHAN BAYRAKTAR, ANDREAS E. KYPRIANOU, AND KAZUTOSHI YAMAZAKI A BSTRACT .We revisit the dividend payment problem in the dual model of Avanzi et al. ([3], [2 ... darien connecticut wikipediaWebThe 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 … birth spine pain medicationWeb20 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 … birth spiritWebwith 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 ... darien city gaWebSocial Welfare Maximization in Two-Tier Heterogeneous Cellular Networks birth spoons for sale