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Quantitative Finance Volume 4, 2004 - Issue 3
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Research Paper

Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy

Bjarne Højgaard Department of Mathematical Sciences, Aalborg University, Fr. Bajersvej 7G, DK-9220, Aalborg, Denmark E-mail: [email protected]
&
Michael Taksar Mathematics Department, University of Missouri, Columbia, MO, USA E-mail: [email protected];
Pages 315-327 | Received 07 Aug 2003, Published online: 19 Aug 2006

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Zhongyang Sun, Xin Zhang & Kam Chuen Yuen. (2020) Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option. Scandinavian Actuarial Journal 2020:3, pages 218-244.
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Xiaoqing Liang & Zbigniew Palmowski. (2018) A note on optimal expected utility of dividend payments with proportional reinsurance. Scandinavian Actuarial Journal 2018:4, pages 275-293.
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Jingzhen Liu, Ka-Fai Cedric Yiu, Tak Kuen Siu & Wai-Ki Ching. (2013) Optimal investment-reinsurance with dynamic risk constraint and regime switching. Scandinavian Actuarial Journal 2013:4, pages 263-285.
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Shuaiqi Zhang. (2012) Impulse Stochastic Control for the Optimization of the Dividend Payments of the Compound Poisson Risk Model Perturbed by Diffusion. Stochastic Analysis and Applications 30:4, pages 642-661.
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Lihua Bai, Junyi Guo & Huayue Zhang. (2010) Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes. Quantitative Finance 10:10, pages 1163-1172.
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Lihua Bai & Junyi Guo. (2010) Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes. Scandinavian Actuarial Journal 2010:1, pages 36-55.
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Benjamin Avanzi. (2009) Strategies for Dividend Distribution: A Review. North American Actuarial Journal 13:2, pages 217-251.
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Linlin Tian & Lihua Bai. (2018) Optimal insurance control for insurers with jump-diffusion risk processes. Annals of Actuarial Science 13:1, pages 198-213.
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Ming Zhou & Kam C. Yuen. (2014) PORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTS. ASTIN Bulletin 45:1, pages 207-238.
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Antoon A.J. Pelsser & Roger J.A. Laeven. (2013) Optimal dividends and ALM under unhedgeable risk. Insurance: Mathematics and Economics 53:3, pages 515-523.
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Xin Zhang, Robert J. Elliott & Tak Kuen Siu. (2012) A Bayesian approach for optimal reinsurance and investment in a diffusion model. Journal of Engineering Mathematics 76:1, pages 195-206.
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Manman Li & Zaiming Liu. (2012) Regulated absolute ruin problem with interest structure and linear dividend barrier. Economic Modelling 29:5, pages 1786-1792.
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Xin Zhang & Min Song. (2012) Optimization of risk policy and dividends with fixed transaction costs under interest rate. Frontiers of Mathematics in China 7:4, pages 795-811.
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Zhibin Liang & Virginia R. Young. (2012) Dividends and reinsurance under a penalty for ruin. Insurance: Mathematics and Economics 50:3, pages 437-445.
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Yidong Wu, Junyi Guo & Lian Tang. (2010) Optimal dividend strategies in discrete risk model with capital injections. Applied Stochastic Models in Business and Industry 27:5, pages 557-566.
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Dingjun Yao, Hailiang Yang & Rongming Wang. (2011) Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs. European Journal of Operational Research 211:3, pages 568-576.
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Wei Liu, Haili Yuan & Yijun Hu. (2011) The optimal strategy for insurance company under the influence of terminal value. Acta Mathematica Scientia 31:3, pages 1077-1090.
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Hui Meng & Tak Kuen Siu. (2011) Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance. SIAM Journal on Control and Optimization 49:1, pages 254-279.
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Hui Meng & Tak Kuen Siu. (2011) On optimal reinsurance, dividend and reinvestment strategies. Economic Modelling 28:1-2, pages 211-218.
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Jussi Keppo, Leonard Kofman & Xu Meng. (2010) Unintended consequences of the market risk requirement in banking regulation. Journal of Economic Dynamics and Control 34:10, pages 2192-2214.
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Pablo Azcue & Nora Muler. (2010) Optimal investment policy and dividend payment strategy in an insurance company. The Annals of Applied Probability 20:4.
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Hui Meng & Xin Zhang. (2013) Optimal Risk Control for The Excess of Loss Reinsurance Policies. ASTIN Bulletin 40:1, pages 179-197.
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Mohamed Belhaj. (2010) OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS. Mathematical Finance 20:2, pages 313-325.
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Ximin Rong, Meiping Lu & Lin Deng. (2009) Multi-period model of portfolio investment and adjustment based on hybrid genetic algorithm. Transactions of Tianjin University 15:6, pages 415-422.
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Hansjörg Albrecher & Stefan Thonhauser. (2009) Optimality results for dividend problems in insuranceResultados de optimalidad para problemas de dividendos en seguros. Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas 103:2, pages 295-320.
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Xin Zhang & Tak Kuen Siu. (2009) Optimal investment and reinsurance of an insurer with model uncertainty. Insurance: Mathematics and Economics 45:1, pages 81-88.
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Arne Løkka & Mihail Zervos. (2008) Optimal dividend and issuance of equity policies in the presence of proportional costs. Insurance: Mathematics and Economics 42:3, pages 954-961.
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Xin Zhang, Ming Zhou & Junyi Guo. (2006) Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting. Applied Stochastic Models in Business and Industry 23:1, pages 63-71.
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Liu Bin & Liu Chao. (2006) An Empirical Study on Signaling Hypothesis of China's Listed Company's Dividend Policy. An Empirical Study on Signaling Hypothesis of China's Listed Company's Dividend Policy.
Jussi Keppo, Leonard Kofman & Xu Meng. (2010) Unintended Consequences of the Market Risk Requirement in Banking Regulation. SSRN Electronic Journal.
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Sohhyun Chung & Jussi Keppo. (2012) The Impact of Volcker Rule on Bank Profits and Default Probabilities. SSRN Electronic Journal.
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Roger J. A. Laeven & Antoon A. J. Pelsser. (2010) Optimal Dividends and ALM Under Unhedgeable Risk. SSRN Electronic Journal.
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Benjamin Avanzi. (2008) A Review of Modern Collective Risk Theory with Dividend Strategies. SSRN Electronic Journal.
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