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On the interface between optimal periodic and continuous dividend strategies in the presence of transaction costs

Avanzi, Benjamin; Tu, Vincent; Wong, Bernard - In: Astin bulletin : the journal of the International … 46 (2016) 3, pp. 709-746

Persistent link: https://www.econbiz.de/10011669766

Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes

Zhao, Yongxia; Chen, Ping; Yang, Hailiang - In: Insurance / Mathematics & economics 74 (2017), pp. 135-146

Persistent link: https://www.econbiz.de/10011712427

Optimal dividends under Erlang(2) inter-dividend decision times

Avanzi, Benjamin; Tu, Vincent; Wong, Bernard - In: Insurance / Mathematics & economics 79 (2018), pp. 225-242

Persistent link: https://www.econbiz.de/10011825483

Company value with ruin constraint in a discrete model

Hipp, Christian - In: Risks : open access journal 6 (2018) 1, pp. 1-14

Optimal dividend payment under a ruin constraint is a two objective control problem which-in simple models-can be … levels and a closed formula for the corresponding dividend value. Using the running allowed ruin probabilities, a simple test ….2.2, also yields optimal dividend strategies which differ from those in all other methods, and Lagrange gaps are present here. …

Persistent link: https://www.econbiz.de/10011811530

On optimal periodic dividend strategies for Lévy risk processes

Noba, Kei; Pérez, José-Luis; Yamazaki, Kazutoshi; … - In: Insurance / Mathematics & economics 80 (2018), pp. 29-44

Persistent link: https://www.econbiz.de/10011872906

A Semi-Markov dynamic capital injection problem for distressed banks

Di Persio, Luca; Prezioso, Luca; Jiang, Yilun - In: Risks : open access journal 11 (2023) 4, pp. 1-16

Our study investigates the optimal dividend strategy for a bank, taking into account the potential for government …

Persistent link: https://www.econbiz.de/10014303713

On the surplus management of funds with assets and liabilities in presence of solvency requirements

Avanzi, Benjamin; Chen, Ping; Henriksen, Lars Frederik … - In: Scandinavian actuarial journal 2023 (2023) 5, pp. 477-508

Persistent link: https://www.econbiz.de/10014336614

Optimal retirement choice under age-dependent force of mortality

Ferrari, Giorgio; Zhu, Shihao - 2023

This paper examines the retirement decision, optimal investment, and consumption strategies under an age-dependent force of mortality. We formulate the optimization problem as a combined stochastic control and optimal stopping problem with a random time horizon, featuring three state variables:...

Persistent link: https://www.econbiz.de/10014433470

Portfolio optimization for an investor with a benchmark

Korn, Ralf; Lindberg, Carl - In: Decisions in economics and finance : DEF ; a journal of … 37 (2014) 2, pp. 373-384

Persistent link: https://www.econbiz.de/10010412437

Entrepreneurial decisions on effort and project with a nonconcave objective function

Bensoussan, Alain; Cadenillas, Abel; Koo, Hyeng-keun - In: Mathematics of operations research 40 (2015) 4, pp. 902-914

Persistent link: https://www.econbiz.de/10011408979