On optimal dividends in the dual model

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August undefined, 2024

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. 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.

On the Optimal Dividend Problem for the Dual Jump-Diffusion Model …

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 … Web1 de jul. de 2007 · Optimal dividend in the dual model is studied in Avanzi et al. (2007), Avanzi and Gerber (2008), and Bayraktar et al. (2013Bayraktar et al. ( , 2014, among others. 1 In this setting, ... react show svg icon

On Optimal Periodic Dividend Strategies in the Dual Model with ...

Webwith the optimal dividends. The HJB equation can be obtained by dynamical programming principle [1, 12]. People have studied optimal dividends in classical risk model as well … WebThis paper revisits the optimal capital structure model with endogenous bankruptcy, first studied by Leland (J. Finance 49:1213–1252, 1994) and Leland and Toft ... On a Periodic Dividend Barrier Strategy in the Dual Model with Continuous Monitoring of Solvency. Web27 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 … how to sterilize boon nursh bottles

Optimal Dividends and Capital Injections in the Dual Model with ...

Optimal Dividends in the Dual Model with Diffusion

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 … Web1 de mar. de 2014 · We study optimal periodic dividend strategies in the dual model with diffusion. Dividends are paid at random time intervals but ruin can happen at any time. A … react show pdfWeb3 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 … how to sterilize coco peat

"Web23 de mai. de 2024 · Download PDF Abstract: Optimal dividend strategy in dual risk model is well studied in the literatures. But to the best of our knowledge, all the previous … " - On optimal dividends in the dual model

On optimal dividends in the dual model

Optimal dividends in the dual model under transaction costs

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 … Web20 de set. de 2013 · 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 …

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Web23 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 … WebDownload scientific diagram Classical vs. dual model. from publication: On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums This paper concerns the dual risk ...

Web1 de jun. de 2024 · In this manuscript we consider the dual risk model with financial application, where the random gains occur under a renewal process. We particularly work the Erlang (n) case for common ... Web9 de jan. de 2024 · In the dual model, the surplus process R (without payment of dividends) with an initial capital x>0 solves the following differential equation: \begin …

Web23 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 … 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 …

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 ...

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 … react show svgWeb20 de set. de 2013 · 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 … react show tooltip on hoverWeb15 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 … how to sterilize bottles for canningWeb9 de ago. de 2013 · We determine the optimal dividend and (unconstrained) capital injection strategy (among all possible strategies) when jumps are hyperexponential. This … react show menu on clickWebHá 11 horas · Tesla cut prices on Real-Wheel Drive version of both Model 3 and Model Y by S$4,000 ($3,020), and Dual Motor All-Wheel Drive version of the two models by … how to sterilize clay potsWeb25 de jul. de 2008 · ON OPTIMAL DIVIDENDS IN THE DUAL MODEL Erhan Bayraktar, A. Kyprianou, K. Yamazaki Mathematics ASTIN Bulletin 2013 Abstract We revisit the … how to sterilize dental tools at homeWebCorrections. All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, … how to sterilize canning lids