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Optimal financing and dividend strategies in a dual model with proportional costs
1. | School of Finance, Nanjing University of Finance and Economics, Nanjing, 210046, China |
2. | Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong |
3. | School of Finance and Statistics, East China Normal University, Shanghai, 200241 |
References:
[1] |
S. Asmussen, B. Høgaard and M. Taksar, Optimal risk control and dividend distribution policies: Example of excess-of-loss reinsurance for an insurance corporation,, Finance and Stochastics, 4 (2000), 299.
doi: 10.1007/s007800050075. |
[2] |
B. Avanzi, H. U. Gerber and E. S. W. Shiu, Optimal dividends in the dual model,, Insurance: Mathematics and Economics, 41 (2007), 111.
doi: 10.1016/j.insmatheco.2006.10.002. |
[3] |
A. Cadenillas, T. Choulli, M. Taksar and L. Zhang, Classical and impulse Stochastic control for the optimization of the dividend and risk policies of an insurance firm,, Mathematical Finance, 16 (2006), 181.
doi: 10.1111/j.1467-9965.2006.00267.x. |
[4] |
B. De Finetti, Su un'impostazione alternativa dell teoria colletiva del rischio,, Transactions of the XV International Congress of Actuaries, 2 (1957), 433.
|
[5] |
Y. H. Dong and G. J. Wang, Ruin probability for renewal risk model with negative risk sums,, Journal of Industrial and Management Optimization, 2 (2006), 229.
|
[6] |
W. H. Flemming and H. M. Soner, "Controlled Markov Processes and Viscosity Solutions,", Springer-Verlag, (1993).
|
[7] |
H. U. Gerber, Games of economic survival with discrete- and continuous-income processes,, Operations Research, 20 (1972), 37.
doi: 10.1287/opre.20.1.37. |
[8] |
H. U. Gerber and E. S. W. Shiu, Optimal dividends: Analysis with Brownian motion,, North American Actuarial Journal, 8 (2004), 1.
|
[9] |
J. Grandell, "Aspects of Risk Theory,", New York, (1991).
|
[10] |
L. He and Z. X. Liang, Optimal financing and dividend control of the insurance company with proportional reinsurance strategy,, Insurance: Mathematics and Economics, 42 (2008), 976.
doi: 10.1016/j.insmatheco.2007.11.003. |
[11] |
B. Høgaard and M. Taksar, Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution strategy,, Quantitative Finance, 4 (2004), 315.
doi: 10.1088/1469-7688/4/3/007. |
[12] |
M. Jeanblanc and A. N. Shiryaev, Optimization of the flow of dividends,, Russian Mathematical Surveys, 50 (1995), 257.
doi: 10.1070/RM1995v050n02ABEH002054. |
[13] |
N. Kulenko and H. Schimidli, Optimal dividend strategy in a Cramér-Lundberg model with capital injections,, Insurance: Mathmatics and Economics, 43 (2008), 270.
doi: 10.1016/j.insmatheco.2008.05.013. |
[14] |
G. Lu, Q. Hu, Y. Zhou and W. Yue, Optimal execution strategy with an endogenously determined sales period,, Journal of Industrial and Management Optimization, 1 (2005), 280.
|
[15] |
A. Løkka and M. Zervos, Optimal dividend and issuance of equity policies in the presence of proportional costs,, Insurance: Mathematics and Economics, 42 (2008), 954.
doi: 10.1016/j.insmatheco.2007.10.013. |
[16] |
A. C. Y. Ng, On a dual model with a dividend threshold,, Insurance: Mathematics and Economics, 44 (2009), 315.
doi: 10.1016/j.insmatheco.2008.11.011. |
[17] |
H. L. Seal, "Stochastic Theory of a Risk Business,", Wiley, (1969).
|
[18] |
S. P. Sethi and M. Taksar, Optimal financing of a corporation subject to random returns,, Mathematical Finance, 12 (2002), 155.
doi: 10.1111/1467-9965.t01-2-02002. |
[19] |
L. Xu, R. M. Wang and D. J. Yao, On maximizing the expected terminal utility by investment and reinsurance,, Journal of Industrial and Management Optimization, 4 (2008), 801.
|
[20] |
K. F. C. Yiu, S. Y. Wang and K. L. Mak, Optimal portfolio under a value-at-risk constraint with applications to inventory control in supply chains,, Journal of Industrial and Management Optimization, 4 (2008), 81.
doi: 10.3934/jimo.2009.5.81. |
[21] |
J. X. Zhu and H. L. Yang, Ruin probabilities of a dual Markov-modulated risk model,, Communications in Statistics-Theory and Methods, 37 (2008), 3298.
doi: 10.1080/03610920802117080. |
show all references
References:
[1] |
S. Asmussen, B. Høgaard and M. Taksar, Optimal risk control and dividend distribution policies: Example of excess-of-loss reinsurance for an insurance corporation,, Finance and Stochastics, 4 (2000), 299.
doi: 10.1007/s007800050075. |
[2] |
B. Avanzi, H. U. Gerber and E. S. W. Shiu, Optimal dividends in the dual model,, Insurance: Mathematics and Economics, 41 (2007), 111.
doi: 10.1016/j.insmatheco.2006.10.002. |
[3] |
A. Cadenillas, T. Choulli, M. Taksar and L. Zhang, Classical and impulse Stochastic control for the optimization of the dividend and risk policies of an insurance firm,, Mathematical Finance, 16 (2006), 181.
doi: 10.1111/j.1467-9965.2006.00267.x. |
[4] |
B. De Finetti, Su un'impostazione alternativa dell teoria colletiva del rischio,, Transactions of the XV International Congress of Actuaries, 2 (1957), 433.
|
[5] |
Y. H. Dong and G. J. Wang, Ruin probability for renewal risk model with negative risk sums,, Journal of Industrial and Management Optimization, 2 (2006), 229.
|
[6] |
W. H. Flemming and H. M. Soner, "Controlled Markov Processes and Viscosity Solutions,", Springer-Verlag, (1993).
|
[7] |
H. U. Gerber, Games of economic survival with discrete- and continuous-income processes,, Operations Research, 20 (1972), 37.
doi: 10.1287/opre.20.1.37. |
[8] |
H. U. Gerber and E. S. W. Shiu, Optimal dividends: Analysis with Brownian motion,, North American Actuarial Journal, 8 (2004), 1.
|
[9] |
J. Grandell, "Aspects of Risk Theory,", New York, (1991).
|
[10] |
L. He and Z. X. Liang, Optimal financing and dividend control of the insurance company with proportional reinsurance strategy,, Insurance: Mathematics and Economics, 42 (2008), 976.
doi: 10.1016/j.insmatheco.2007.11.003. |
[11] |
B. Høgaard and M. Taksar, Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution strategy,, Quantitative Finance, 4 (2004), 315.
doi: 10.1088/1469-7688/4/3/007. |
[12] |
M. Jeanblanc and A. N. Shiryaev, Optimization of the flow of dividends,, Russian Mathematical Surveys, 50 (1995), 257.
doi: 10.1070/RM1995v050n02ABEH002054. |
[13] |
N. Kulenko and H. Schimidli, Optimal dividend strategy in a Cramér-Lundberg model with capital injections,, Insurance: Mathmatics and Economics, 43 (2008), 270.
doi: 10.1016/j.insmatheco.2008.05.013. |
[14] |
G. Lu, Q. Hu, Y. Zhou and W. Yue, Optimal execution strategy with an endogenously determined sales period,, Journal of Industrial and Management Optimization, 1 (2005), 280.
|
[15] |
A. Løkka and M. Zervos, Optimal dividend and issuance of equity policies in the presence of proportional costs,, Insurance: Mathematics and Economics, 42 (2008), 954.
doi: 10.1016/j.insmatheco.2007.10.013. |
[16] |
A. C. Y. Ng, On a dual model with a dividend threshold,, Insurance: Mathematics and Economics, 44 (2009), 315.
doi: 10.1016/j.insmatheco.2008.11.011. |
[17] |
H. L. Seal, "Stochastic Theory of a Risk Business,", Wiley, (1969).
|
[18] |
S. P. Sethi and M. Taksar, Optimal financing of a corporation subject to random returns,, Mathematical Finance, 12 (2002), 155.
doi: 10.1111/1467-9965.t01-2-02002. |
[19] |
L. Xu, R. M. Wang and D. J. Yao, On maximizing the expected terminal utility by investment and reinsurance,, Journal of Industrial and Management Optimization, 4 (2008), 801.
|
[20] |
K. F. C. Yiu, S. Y. Wang and K. L. Mak, Optimal portfolio under a value-at-risk constraint with applications to inventory control in supply chains,, Journal of Industrial and Management Optimization, 4 (2008), 81.
doi: 10.3934/jimo.2009.5.81. |
[21] |
J. X. Zhu and H. L. Yang, Ruin probabilities of a dual Markov-modulated risk model,, Communications in Statistics-Theory and Methods, 37 (2008), 3298.
doi: 10.1080/03610920802117080. |
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