Optimal risk and dividend control problem with fixed costs and salvage value: Variance premium principle

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Optimal dynamic reinsurance with dependent risks: variance premium principle

In this paper, we consider the optimal proportional reinsurance strategy in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. Under the criterion of maximizing the expected exponential utility with the variance premium principle, we adopt a nonstandard approach to examining the existence and uniqu...

متن کامل

Optimal dividend and risk control in diffusion models with linear costs

We consider the optimization problem of dividends and risk exposures of a firm in the diffusion model with linear costs. The variational inequality associated with this problem is given by the nonlinear form of elliptic type. Using the viscosity solutions technique, we solve the corresponding penalty equation and show the existence of a classical solution to the variational inequality. The opti...

متن کامل

Optimal risk control and dividend distribution policies for a diffusion model with terminal value

In this paper we investigate the optimal risk control and dividend distribution problem for a diffusion model with a terminal value. Usually the insurer cedes risk by means of a reinsurance contract, and pays dividends out dynamically from the surplus. Consider that the insurer is trying to balance risk control and dividend payout in terms of reinsurance and dividend distribution policies. Then...

متن کامل

Optimal Risk / Dividend Distribution Control Models

The current paper presents a short survey of stochastic models of risk control and dividend optimization techniques for a nancial corporation. While being close to consump-tion/investment models of Mathematical Finance, dividend optimization models possess special features which do not allow them to be treated as a particular case of consumption/investment models. In a typical model of this sor...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Economic Modelling

سال: 2014

ISSN: 0264-9993

DOI: 10.1016/j.econmod.2013.10.026