On optimal dividends in the dual model
Web15 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 … WebThis 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 …
On optimal dividends in the dual model
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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 … 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 …
Webon optimal dividends in the dual model ERHAN BAYRAKTAR, ANDREAS E. KYPRIANOU, AND KAZUTOSHI YAMAZAKI A BSTRACT .We revisit the dividend payment problem in the dual model of Avanzi et al. ([3], [2 ... 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 …
Web31 de jan. de 2013 · Abstract: We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally positive Lévy …
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 …
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 … diadem of spectre ddoWebwith 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 as in dual risk model under a deterministic interest rate [2, 12, 9, 10, 1]. Recently J.Eisenberg [5] published a paper on optimal dividends in the setting of a di usion ... cineworld bankruptcy ukWeb28 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. cineworld barcodeWebDownload 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 ... cineworld bankrupt ukWeb20 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 … diadem of fireWeb1 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 … diadem of beautyWeb27 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 … diadem flower