Publication Cover
Optimization
A Journal of Mathematical Programming and Operations Research
Volume 68, 2019 - Issue 12
167
Views
0
CrossRef citations to date
0
Altmetric
Articles

Stochastic optimal control on dividend policies with bankruptcy

&
Pages 2317-2337 | Received 06 Sep 2018, Accepted 06 Feb 2019, Published online: 20 Mar 2019

References

  • Jeanblanc M, Shiryaev AN. Optimization of the flow of dividends. Russ Math Sur. 1995;50(2):257–277.
  • Radner R, Shepp L. Risk vs. profit potential: A model for corporate strategy. J Econ Dyn Control. 1996;20:1373–1393.
  • Taksar M, Zhou XY. Optimal risk and dividend control for a company with debt liability. Insur Math Econ. 1998;22(1):105–122.
  • Højgaard B, Taksar M. Optimal proportional reinsurance policies for diffusion models with transaction costs. Insur Math Econ. 1998a;22(1):41–51.
  • Højgaard B, Taksar M. Optimal proportional reinsurance policies for diffusion models. Scand Actuar J. 1998b;2:166–180.
  • Højgaard B, Taksar M. Controling risk exposure and dividends payout schemes: Insurance company example. Math Financ. 1999;9(2):153–182.
  • Hubalek F, Schachermayer W. Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE. Insur Math Econ. 2004;34(2):193–225.
  • Cadenillas A, Choulli T, Taksar M, et al. Classical and impulse stochastic control for the optimization of the dividend and risk policies of an insurance firm. Math Financ. 2006;16(1):181–202.
  • Paulsen J. Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs. Adv Appl Probab. 2007;39(3):669–689.
  • Paulsen J. Optimal dividend payments and reinvestments of diffusion process with both fixed and proportional costs. SIAM J Control Optim. 2008;47(5):2201–2226.
  • Avanzi B, Wong B. On a mean reverting dividend strategy with Brownian motion. Insur Math Econ. 2012;51(2):229–238.
  • Hunting M, Paulsen J. Optimal dividend policies with transaction costs for a class of jump-diffusion process. Financ Stoch. 2013;17(1):73–106.
  • Chen S, Li Z, Zeng Y. Optimal dividend strategies with time-inconsistent preferences. J Econ Dyn Control. 2014;46:150–172.
  • Eisenberg J. Optimal dividends under a stochastic interest rate. Insur Math Econ. 2015;65:259–266.
  • Vierkötter M, Schmidli H. On optimal dividends with exponential and linear penalty payments. Insur Math Econ. 2017;72:65–270.
  • Chen P, Li B. Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy. Discrete Dyn Nat Soc. 2017;2:1–14.
  • De Finetti B. Su un'impostazione alternativa della teoria collettiva del rischio. In: Processing of the Transactions of the 15th International Congress of Actuaries 2; 1957. p. 433–443.
  • Sethi SP, Taksar M. Optimal financing of a corporation subject to random returns. Math Financ. 2002;12(2):155–172.
  • Kulenko N, Schimidli H. Optimal dividend strategies in a Cramér–Lundberg model with capital injections. Insur Math Econ. 2008;43:270–278.
  • Løkka A, Zervos M. Optimal dividend and issuance of equity policies in the presence of proportional costs. Insur Math Econ. 2008;42(3):954–961.
  • He L, Liang Z. Optimal financing and dividend control of the insurance company with proportional reinsurance policy. Insur Math Econ. 2008;42(3):976–983.
  • He L, Liang Z. Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs. Insur Math Econ. 2009;44(1):88–94.
  • Yao D, Yang H, Wang R. Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs. Eur J Oper Res. 2011;211(3):568–576.
  • Liu W, Hu Y. Optimal financing and dividend control of the insurance company with excess-of-loss reinsurance policy. Stat Probab Lett. 2014;84(1):121–130.
  • Zhu J, Yang H. Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy. Insur Math Econ. 2016;70:259–271.
  • Sethi SP, Taksar M. Infinite-horizon investment consumption model with a nonterminal bankruptcy. J Optim Theory Appl. 1992;74(2):333–346.
  • Lions PL, Sznitman AS. Stochastic differential equations with reflecting boundary conditions. Commun Pure Appl Math. 1984;37:511–537.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.