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.
New approach to optimal dividend control with mean-variance criterion.
New approach to optimal dividend timing with limited payouts.
Optimal dividend strategy with irreversible reinsurance constraints.
In this paper we propose and solve an optimal dividend problem with capital injections over a finite time horizon. The surplus dynamics obeys a linearly controlled drifted Brownian motion that is reflected at the origin, dividends give rise to time-dependent instantaneous marginal profits, whereas capital injections ar…
The paper analyzes optimal dividend strategies for risky businesses, considering both periodic and extraordinary payments.
Optimal dividend strategy for insurance company in foreign currency.
The article presents a general discrete time dividend valuation model when the dividend growth rate is a general continuous variable. The main assumption is that the dividend growth rate follows a discrete time semi-Markov chain with measurable space. The paper furnishes sufficient conditions that assure finiteness of …
In this paper we consider dividend problem for an insurance company whose risk evolves as a spectrally negative Lévy process (in the absence of dividend payments) when Parisian delay is applied. The objective function is given by the cumulative discounted dividends received until the moment of ruin when so-called barri…
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 reinsurance and dividend strategy for insurance companies in a finite time.
The paper analyzes optimal dividend and capital injection strategies under time-inconsistent preferences.
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…
This paper concerns an optimal dividend distribution problem for an insurance company with surplus-dependent premium. In the absence of dividend payments, such a risk process is a particular case of so-called piecewise deterministic Markov processes. The control mechanism chooses the size of dividend payments. The obje…
This paper solves an optimal dividend payout problem with ratcheting constraints using a novel method.
Study optimizes dividend payout strategies under fluctuating interest rates.
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 control problem for firm cash flow with dividend and capital injection strategies.
We characterise the value function of the optimal dividend problem with a finite time horizon as the unique classical solution of a suitable Hamilton-Jacobi-Bellman equation. The optimal dividend strategy is realised by a Skorokhod reflection of the fund's value at a time-dependent optimal boundary. Our results are obt…
A firm with heterogeneous shareholders optimizes dividends under ambiguity aggregation.
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are given by discrete time processes. Moreover, between two dividend payments, the st…
Optimal dividend strategy in insurance with limited rate decrease.
Paper shows equivalence between two dividend preference models.
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.
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 concerns an optimal dividend distribution problem for an insurance company whose risk process evolves as a spectrally negative Lévy process (in the absence of dividend payments). The management of the company is assumed to control timing and size of dividend payments. The objective is to maximize the sum of …
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 consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding (subject to some proportional transaction costs). For modelling dividends we use the …
This article extends, in a stochastic environment, the Yagil (1987) model which establishes, in a deterministic dividend discount model, a range for the exchange ratio in a stock-for-stock merger agreement. Here, we generalize Yagil's work letting both pre- and post-merger dividends grow randomly over time. If Yagil fo…
Paper presents a new method for pricing American options with hybrid dividends.
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 …
Study shows how business cycle affects dividend payout based on managerial stock incentives.
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…
We solve the pricing problem for perpetual American puts and calls on dividend-paying assets. The dependence of a dividend process on the underlying stochastic factor is fairly general: any non-decreasing function is admissible. The stochastic factor follows a Levy process. This specification allows us to consider asse…
Enhanced Gordon growth model for valuing financial products.
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. This paper aims at des…
Optimal dividend strategy with ratcheting and capital injection under Cramér-Lundberg model.
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…
Machine learning approximates implied volatility and dividend yield for American options.
Study finds no consistent return predictability using payout ratios across 16 countries.
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…
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…
In this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practical optimization problems faced by a company that can control its liquid reserves by paying dividends and injecting capital. In the first pro…
We consider the classical optimal dividends problem under the Cramér-Lundberg model with exponential claim sizes subject to a constraint on the time of ruin. We introduce the dual problem and show that the complementary slackness conditions are satisfied, thus there is no duality gap. Therefore the optimal value functi…
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…
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…