On optimal dividends in the dual model

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 … 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 …

On the Optimal Dividend Problem in the Dual Model with …

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 ... Web23 de set. de 2014 · This paper investigates an optimal dividend and capital injection problem in the dual model with a random horizon. Both fixed and proportional costs from … slumber party game light as a feather https://dtsperformance.com

Classical vs. dual model. Download Scientific Diagram

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 … 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 … WebThis paper studies the optimal dividend strategies of an insurance company when the manager has time-inconsistent preferences. We consider the problem for a naive manager and a sophisticated manager, and analytically derive the optimal dividend strategies when claim sizes follow an exponential distribution.Our results show that the manager with … slumber party fun ideas

Optimal Dividends in the Dual Model with Diffusion

Category:On optimal periodic dividend strategies in the dual model with ...

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On optimal dividends in the dual model

On Optimal Periodic Dividend Strategies in the Dual Model with ...

WebHá 11 horas · Tesla cut prices on Real-Wheel Drive version of both Model 3 and Model Y by S$4,000 ($3,020), and Dual Motor All-Wheel Drive version of the two models by … 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, …

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 …

Webon optimal dividends in the dual model ERHAN BAYRAKTAR, ANDREAS E. KYPRIANOU, AND KAZUTOSHI YAMAZAKI A BSTRACT .We revisit the dividend payment problem in the dual model of Avanzi et al. ([3], [2 ... 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 …

Web23 de set. de 2014 · 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. The objective is to maximize the total value of the expected discounted dividends and the penalized discounted capital … WebThis 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.

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 …

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 … solar edge flashing greensolaredge energy bank 10kwh batteryWebThe dual model with di usion is appropriate for companies with continuous expenses that are o set by stochastic and irregular gains. Examples include research-based or … slumber party games ideasWebSocial Welfare Maximization in Two-Tier Heterogeneous Cellular Networks solaredge energy hub reviewsWeb1 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 … solaredge ev charger cable lengthWeb31 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 … slumber party games adultsWeb16 de fev. de 2024 · The model. The dual compound Poisson risk process { UD ( t )} t ≥ 0 (in the absence of dividends) is defined by U D ( t) = u − c t + ∑ i = 1 N ( t) Y i, t ≥ 0, where u = U D ( 0) ≥ 0 is the initial surplus, c > 0 is the constant expense rate per unit time, { N ( t )} t ≥ 0 is a Poisson process with rate λ > 0, and { Y i } i = 1 ∞ ... slumber party favors