Search Results - subject:"Dividend optimization"

A two-dimensional dividend problem for collaborating companies and an optimal stopping problem

Grandits, Peter - In: Scandinavian actuarial journal 2019 (2019) 1, pp. 80-96

Persistent link: https://www.econbiz.de/10012194933

Shareholder risk measures

Coculescu, Delia; Rochet, Jean-Charles - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 5-28

Persistent link: https://www.econbiz.de/10011969146

Optimal Dividend Control in Presence of Downside Risk

Alvarez, Luis H. R.; Rakkolainen, Teppo A. - 2007

We analyze the determination of a value maximizing dividend policy for a broad class of cash flow processes modelled as spectrally negative jump diffusions. We extend previous results based on continuous diffusion models and characterize the value of the optimal dividend policy explicitly....

Persistent link: https://www.econbiz.de/10012502968

Optimal Dividend Control in Presence of Downside Risk

Alvarez, Luis H. R.; Rakkolainen, Teppo A. - Turun Kauppakorkeakoulu, Turun Yliopisto - 2007

Persistent link: https://www.econbiz.de/10005537229

Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle

Zhou, Ming; Yuen, Kam C. - In: Economic Modelling 29 (2012) 2, pp. 198-207

This paper considers the optimal dividend problem with proportional reinsurance and capital injection for a large insurance portfolio. In particular, the reinsurance premium is assumed to be calculated via the variance principle instead of the expected value principle. Our objective is to...

Persistent link: https://www.econbiz.de/10010573396

Optimal reinsurance and dividend for a diffusion model with capital injection : variance premium principle

Zhou, Ming; Yuen, Kam Chuen - In: Economic modelling 29 (2012) 2, pp. 198-207

Persistent link: https://www.econbiz.de/10009536037

Optimal payout policy in presence of downside risk

Alvarez, Luis; Rakkolainen, Teppo - In: Computational Statistics 69 (2009) 1, pp. 27-58

We analyze the determination of a value maximizing dividend payout policy for a broad class of cash reserve processes modeled as spectrally negative jump diffusions. We extend previous results based on continuous diffusion models and characterize the value of the optimal dividend distribution...

Persistent link: https://www.econbiz.de/10010847615

Optimal payout policy in presence of downside risk

Alvarez, Luis; Rakkolainen, Teppo - In: Mathematical Methods of Operations Research 69 (2009) 1, pp. 27-58

Persistent link: https://www.econbiz.de/10010950040

Optimal risk and dividend distribution control models for an insurance company

Taksar, Michael I. - In: Computational Statistics 51 (2000) 1, pp. 1-42

The current paper presents a short survey of stochastic models of risk control and dividend optimization techniques for … a financial corporation. While being close to consumption/investment models of Mathematical Finance, dividend … optimization models possess special features which do not allow them to be treated as a particular case of consumption …

Persistent link: https://www.econbiz.de/10010847758

Optimal risk and dividend distribution control models for an insurance company

Taksar, Michael I. - In: Mathematical Methods of Operations Research 51 (2000) 1, pp. 1-42

Persistent link: https://www.econbiz.de/10010999777