A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
This paper solves an optimal dividend payout problem with ratcheting constraints using a novel method.
Study shows how business cycle affects dividend payout based on managerial stock incentives.
Study finds dividend payout policy positively impacts firm profitability.
Optimal reinsurance and dividend strategy for insurance companies in a finite time.
Study finds no consistent return predictability using payout ratios across 16 countries.
Optimal dividend payout strategy found for Brownian risk model with ratcheting constraint.
This paper optimizes dividend payout rates with a drawdown constraint in a stochastic model.
We study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the presence of the restriction that the surplus process must be above a given dividend payout barrier in order for dividend payments to be allowed. Bankruptcy occurs if the su…
The paper optimizes insurance strategies for two collaborating business lines.
This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. However, if the optimal dividend barrier is too low t…
Optimal dividend payout strategies with drawdown constraint identified.
This paper considers an optimal control of a big financial company with debt liability under bankrupt probability constraints. The company, which faces constant liability payments and has choices to choose various production/business policies from an available set of control policies with different expected profits and…
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency constraint. The company controls proportional reinsurance and dividend pay-out policy to…
Study optimal strategies for insurer's dividends, investments, and liabilities.
Default risk significantly affects the corporate policies of a firm. We develop a model in which a limited liability entity subject to Poisson default shock jointly sets its dividend policy and capital structure to maximize the expected lifetime utility from consumption of risk averse equity investors. We give a comple…
Optimizes dividend payouts with fixed costs and regime switching.
Study optimizes dividend payout strategies under fluctuating interest rates.
Optimal dividend strategy with irreversible reinsurance constraints.
The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this context, numerous papers considered threshold (refractive) and barrier (reflective) dividend strategies. These were shown to be optimal in a number of different contexts for bounded and unbounded payout …
Optimal dividends strategy in a two-state regime-switching environment.
The paper optimizes insurer's dividend, reinsurance, and capital injection strategies for two collaborating business lines.
This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study in this general framework of both restricted and unrestricted payment schemes, wh…
The paper optimizes insurer's decisions on dividends, reinsurance, and capital injection under model uncertainty.
The present paper addresses the issue of the stochastic control of the optimal dynamic reinsurance policy and dynamic dividend strategy, which are state-dependent, for an insurance company that operates under multiple insurance lines of business. The aggregate claims model with a thinning-dependence structure is adopte…
Optimal dividend strategy with ratcheting and capital injection under Cramér-Lundberg model.
Optimizes bank capital structure under Basel III constraints, simplifying complex dynamics.
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some constant. The utility function destroys the linearity and the time homogeneity of …
The paper analyzes fairness of compensation-based risk-sharing schemes for fund payouts.
We study a continuous-time asset-allocation problem for an insurance firm that backs up liabilities from multiple non-life business lines with underwriting profits and investment income. The insurance risks are captured via a multidimensional jump-diffusion process with a multivariate compound Poisson process with depe…
New control theory for self-path-dependent problems solves unique constraints.
In this paper we propose a new model for pricing stock and dividend derivatives. We jointly specify dynamics for the stock price and the dividend rate such that the stock price is positive and the dividend rate non-negative. In its simplest form, the model features a dividend rate that is mean-reverting around a consta…
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and the dividend paying stoc…
New approach to optimal dividend control with mean-variance criterion.
In this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Levy process. This model including the dual model of the classical risk model and the dual model with diffusion as special cases. We assume that dividends are paid to the shareholders according to ad…
Optimal control problem for firm cash flow with dividend and capital injection strategies.
Study optimal periodic dividend strategies for risky businesses with transaction costs.
Optimizes dividends with stability for risky businesses.
In this paper we consider the optimal dividend problem for an insurance company whose risk process evolves as a spectrally negative Lévy process in the absence of dividend payments. The classical dividend problem for an insurance company consists in finding a dividend payment policy that maximizes the total expected di…
This paper uses basket option formulas to price vanilla options with discrete dividends.
Paper presents new expansions for option pricing with cash dividends.
In this note we study the optimal dividend problem for a company whose surplus process, in the absence of dividend payments, evolves as a generalized compound Poisson model in which the counting process is a generalized Poisson process. This model including the classical risk model and the Polya-Aeppli risk model as sp…
The paper analyzes optimal dividend strategies for risky businesses, considering both periodic and extraordinary payments.
Paper shows equivalence between two dividend preference models.
We analyze the regularity of the optimal exercise boundary for the American Put option when the underlying asset pays a discrete dividend at a known time during the lifetime of the option. The ex-dividend asset price process is assumed to follow Black-Scholes dynamics and the dividend amount is a deterministic fu…
Optimizes dividend payments to balance risk and reward.
In this paper, we consider the optimal dividend problem for a company. We describe the surplus process of the company by a diffusion model with regime switching. The aim of the company is to choose a dividend policy to maximize the expected total discounted payments until ruin. In this article, we consider a hybrid div…
We study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external environment regime. The environment regime is modeled by a Markov process. Both cap…
We consider the optimal dividend problem under a habit formation constraint that prevents the dividend rate to fall below a certain proportion of its historical maximum, the so-called drawdown constraint. This is an extension of the optimal Duesenberry's ratcheting consumption problem, studied by Dybvig (1995) [Review …