On optimal dividends in the dual model

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August undefined, 2024

Web28 de set. de 2024 · Avanzi, B., Cheung, E.C.K., Wong, B. and Woo, J.-K. (2013) On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency. ... Optimal singular dividend control with capital injection and affine penalty payment at ruin. Probability in the Engineering and Informational Sciences, p. 1. 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 …

ON OPTIMAL DIVIDENDS IN THE DUAL MODEL - Semantic Scholar

Web25 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 ... 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 … green boots with fur

Optimality of refraction strategies for a constrained dividend …

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 … Web1 de out. de 2015 · 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. 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 … green border around edge browser

Optimal Dividend in the Two-Dimensional Dual Model

On optimal periodic dividend strategies in the dual model with di …

WebWe revisit the dividend payment problem in the dual model of Avanzi et al. ([2â€“4]). Using the fluctuation theory of spectrally positive LÃ©vy processes, we give a short exposition … WebHá 2 dias · PLANO, Texas, April 12, 2024 /PRNewswire/ -- The UX 250h carries over its dynamic drive and various luxury options into the new 2024 model year. An available power back door with kick sensor is ... green border around applicationWebHá 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 … flowers software gmbh münchen

"Web14 de out. de 2008 · How to distribute dividends to shareholders of a company so that the expectation of the discounted dividends can be maximized is a classical actuarial problem. Different from many papers which focus on the insurance company, this paper discusses the optimal dividend problem for another kind of company, which specializes in inventions … " - On optimal dividends in the dual model

On optimal dividends in the dual model

Asymptotic Analysis for Optimal Dividends in a Dual Risk Model

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 … 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 …

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Web16 de jun. de 2011 · The dual model with diffusion is appropriate for companies with continuous expenses that are offset by stochastic and irregular gains. Examples include … 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 …

Web7 de dez. de 2016 · Avanzi et al. (2016) recently studied an optimal dividend problem where dividends are paid both periodically and continuously with different transaction costs. In the Brownian model with Poissonian periodic dividend payment opportunities, they showed that the optimal strategy is either of the pure-continuous, pure-periodic, or … WebThis 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 …

WebThe dual model with di usion is appropriate for companies with continuous expenses that are o set by stochastic and irregular gains. Examples include research-based or … 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

WebThis 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 capital injection based on the symmetry of risk information. Besides the proportional transaction cost, we also incorporate the fixed transaction cost incurred by capital …

WebOptimal dividend strategy in dual risk model is well studied in the literatures. But to the best of our knowledge, all the previous works assumes deterministic interest rate. In this paper, we study the optimal dividends strategy in dual risk model, under a stochastic interest rate, assuming the discounting factor follows a geometric Brownian motion or … flowers sold on valentine\u0027s dayWeb1 de jan. de 2024 · In the framework of dual risk model, D. Yao, H. Yang, and R.Wan [”Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs”, European ... green booty shorts plus sizeWeb23 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 … flowers software münchenWeb15 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 … green border around windows 10Web25 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, … flowers softwareWeb27 de fev. de 2014 · We revisit the dividend payment problem in the dual model of Avanzi et al. Using the fluctuation theory of spectrally positive Levy ... Andreas E. and … green border certificateWeb9 de ago. de 2013 · We determine the optimal dividend and (unconstrained) capital injection strategy (among all possible strategies) when jumps are hyperexponential. This … flowers snyder funeral home