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On optimal dividends in the dual model

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 … 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 …

Optimal Dividend in the Two-Dimensional 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 … 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 … danish classes seattle https://carsbehindbook.com

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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, ... WebWe 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 a short exposition … 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 … birthday cake images for facebook

Optimal dividends in the dual model

Category:On Optimal Dividends in the Dual Model - SSRN

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On optimal dividends in the dual model

Optimal dividends in the dual model - ScienceDirect

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 … 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 …

On optimal dividends in the dual model

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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 ... Web9 de ago. de 2013 · We determine the optimal dividend and (unconstrained) capital injection strategy (among all possible strategies) when jumps are hyperexponential. This …

Web1 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 ... 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 …

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 … 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.

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Web31 de mar. de 2014 · D. J. Yao, R. W. Wang and L. Xu, Optimal dividend and capital injection strategy with fixed costs and restricted dividend rate for a dual model, Journal of Industrial and Management Optimization, 10 (2014), 1235-1259.doi: 10.3934/jimo.2014.10.1235. danish classes onlineWeb14 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 … birthday cake images gifWeb20 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 … birthday cake images for ladiesWeb3 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 … birthday cake images white backgroundWeb3 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 … birthday cake images for sonWebThis 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. birthday cake images for twinsWeb25 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, … danish clean water facebook