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.
Study optimal periodic dividend strategies for risky businesses with transaction costs.
Optimizes dividend payments to balance risk and reward.
Study optimal strategies for insurer's dividends, investments, and liabilities.
Optimal control problem for firm cash flow with dividend and capital injection strategies.
This paper optimizes periodic dividend strategies for Lévy processes with transaction costs.
The paper analyzes optimal dividend strategies for risky businesses, considering both periodic and extraordinary payments.
Optimizes dividend payouts with fixed costs and regime switching.
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 …
The paper optimizes insurer's dividend, reinsurance, and capital injection strategies for two collaborating business lines.
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…
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…
Optimizes dividends with stability for risky businesses.
New approach to optimal dividend control with mean-variance criterion.
Optimal dividend strategy with irreversible reinsurance constraints.
We consider a two-dimensional optimal dividend problem in the context of two insurance companies with compound Poisson surplus processes, who collaborate by paying each other's deficit when possible. We solve the stochastic control problem of maximizing the weighted sum of expected discounted dividend payments (among a…
Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend poli…
In this paper, we revisit the optimal periodic dividend problem, in which dividend payments can only be made at the jump times of an independent Poisson process. In the dual (spectrally positive Lévy) model, recent results have shown the optimality of a periodic barrier strategy, which pays dividends at Poissonian divi…
Optimal dividend payout strategies with drawdown constraint identified.
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…
The paper optimizes dividend strategies for companies with assets and liabilities under solvency constraints.
Optimal dividend payout strategy found for Brownian risk model with ratcheting constraint.
Optimizes dividend policies in a Brownian model with controlled rates.
In this paper, we study the dividend strategies for a shareholder with non-constant discount rate in a diffusion risk model. We assume that the dividends can only be paid at a bounded rate and restrict ourselves to the Markov strategies. This is a time inconsistent control problem. The extended HJB equation is given an…
This paper solves an optimal dividend payout problem with ratcheting constraints using a novel method.
The paper optimizes insurance strategies for two collaborating business lines.
We address a long-standing open problem in risk theory, namely the optimal strategy to pay out dividends from an insurance surplus process, if the dividend rate can never be decreased. The optimality criterion here is to maximize the expected value of the aggregate discounted dividend payments up to the time of ruin. I…
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…
We consider in this paper the optimal dividend problem for an insurance company whose uncontrolled reserve process evolves as a classical Cramér--Lundberg process. The firm has the option of investing part of the surplus in a Black--Scholes financial market. The objective is to find a strategy consisting of both invest…
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…
Study optimal dividend strategies for insurers with natural catastrophe claims.
In this paper we consider a modified version of the classical optimal dividends problem of de Finetti in which the dividend payments subject to a penalty at ruin. We assume that the risk process is modeled by a general spectrally positive Levy process before dividends are deducted. Using the fluctuation theory of spect…
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest for positive reserve, and debit interest for negative reserve. Ruin occurs when t…
We consider a two-dimensional optimal dividend problem in the context of two branches of an insurance company with compound Poisson surplus processes dividing claims and premia in some specified proportions. We solve the stochastic control problem of maximizing expected cumulative discounted dividend payments (among al…
Study optimizes dividend payout strategies under fluctuating interest rates.
Optimal dividends strategy in a two-state regime-switching environment.
Two firms compete in a financial market, choosing dividend strategies to avoid default and maximize profits.
The paper optimizes insurer's decisions on dividends, reinsurance, and capital injection under model uncertainty.
The paper analyzes optimal dividend and capital injection strategies under time-inconsistent preferences.
Optimal dividend strategy with ratcheting and capital injection under Cramér-Lundberg model.
Paper shows equivalence between two dividend preference models.
Optimal 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 foll…
This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open problem of the general spectrally negative case and derive the optimal solution explicitly using the fluctuation identities of the refracted-ref…
We consider the problem of maximizing the discounted utility of dividend payments of an insurance company whose reserves are modeled as a classical Cramér-Lundberg risk process. We investigate this optimization problem under the constraint that dividend rate is bounded. We prove that the value function fulfills the Ham…
We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and flood. The catastrophe risk could be partly reduced by reinsurance. The management of the company controls the reinsurance rate and div…
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-peri…
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…
The paper finds optimal threshold strategies for insurance companies with a positive terminal value at creeping ruin.
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…