On optimal dividends in the dual model

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August undefined, 2024

WebHá 5 horas · As the S&P 500 Index ( SP500) edges towards its February peak of 4,179 points, we think it is an appropriate time to reassess the economic landscape ahead and … 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 …

Optimal Dividend in the Two-Dimensional Dual Model

Web10 de jul. de 2013 · We 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 … Web9 de jan. de 2024 · In the dual model, the surplus process R (without payment of dividends) with an initial capital x>0 solves the following differential equation: \begin … iowa hawkeye football parking passes

Hybrid continuous and periodic barrier strategies in the dual model ...

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 … 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 … Web25 de jul. de 2008 · Note that the dual model with diffusion in Avanzi and Gerber (2008) corresponds to the case in which Π (dx) = λF (dx), where λ > 0 is the Poisson parameter and F is the distribution of ... iowa hawkeye football point spread

Asymptotic Analysis for Optimal Dividends in a Dual Risk Model

Optimal dividends in the dual model - ScienceDirect

Web30 de nov. de 2012 · On optimal dividends in the dual model CC BY 4.0 Authors: Erhan Bayraktar University of Michigan Andreas E. Kyprianou The University of Warwick … 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 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 ... open3d write triangle meshWeb14 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 … open3d stl to point cloud

"Web31 de jan. de 2013 · We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally ... Final version. To appear in Insurance: Mathematics and Economics. Key words: dual model; dividends; impulse control; spectrally positive Levy processes; scale functions: Subjects: Probability … " - On optimal dividends in the dual model

On optimal dividends in the dual model

On the Optimal Dividend Problem in the Dual Model with Surplus ...

Web13 de jan. de 2016 · Download PDF Abstract: The dual risk model is a popular model in finance and insurance, which is often used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for the dual risk model. It is well known that the value function of this optimal control … Web1 de jun. de 2024 · In this manuscript we consider the dual risk model with financial application, where the random gains occur under a renewal process. We particularly work the Erlang (n) case for common ...

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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 … Web25 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, …

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. 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 ...

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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.

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 … open3d read triangle meshWeb1 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 ... iowa hawkeye football open practiceWeb1 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 … open3d python 安装Web9 de ago. de 2013 · We determine the optimal dividend and (unconstrained) capital injection strategy (among all possible strategies) when jumps are hyperexponential. This … open4business iowaWeb30 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 … iowa hawkeye football on tv 2022WebThis 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. open4blockchainWebThis 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 … iowa hawkeye football pictures in frames