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On optimal dividends in the dual model

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 ... Web23 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 …

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

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 Web3 de out. de 2016 · We study the dual model with capital injection under the additional condition that the dividend strategy is absolutely continuous. We consider a … cycloplegics and mydriatics https://hireproconstruction.com

On optimal periodic dividend strategies in the dual model with ...

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 … 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 … 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 … cyclopithecus

Symmetry Free Full-Text Optimal Dividend and Capital Injection ...

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On optimal dividends in the dual model

On the Optimal Dividend Problem in the Dual Model with …

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 ... 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, …

On optimal dividends in the dual model

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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 … 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 …

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, ... 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 …

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 … Web3 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 …

Web30 de nov. de 2012 · On optimal dividends in the dual model CC BY 4.0 Authors: Erhan Bayraktar University of Michigan Andreas E. Kyprianou The University of Warwick …

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, … cycloplegic mechanism of actionWeb31 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. cyclophyllidean tapewormsWebThis 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 … cycloplegic refraction slideshareWebHá 5 horas · As the S&P 500 Index ( SP500) edges towards its February peak of 4,179 points, we think it is an appropriate time to reassess the economic landscape ahead and … cyclophyllum coprosmoidesWebwith 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 … cyclopiteWeb1 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), … cyclop junctionsWeb25 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 ... cycloplegic mydriatics