منابع مشابه
Dividend Maximization under Consideration of the Time Value of Ruin∗
In the Cramér-Lundberg model and its di usion approximation, it is a classical problem to nd the optimal dividend payment strategy that maximizes the expected value of the discounted dividend payments until ruin. One often raised disadvantage of this approach is the fact that such a strategy does not take the life time of the controlled process into account. In this paper we introduce a value f...
متن کاملOn the Time Value of Absolute Ruin with Debit Interest
Assume that the surplus of an insurer follows a compound Poisson surplus process. When the surplus is below zero or the insurer is on deficit, the insurer could borrow money at a debit interest rate to pay claims. Meanwhile, the insurer will repay debts from her premium income. The negative surplus may return to a positive level if debts are reasonable. However, when the negative surplus is bel...
متن کاملCompany value with ruin constraint in a discrete model
Optimal dividend payment under a ruin constraint is a two objective control problem 1 which – in simple models – can be solved numerically by three essentially different methods. One 2 is based on a modified Bellman equation and the policy improvement method (see (2003)). In this 3 paper we use explicit formulas for running allowed ruin probabilities which avoid a complete search 4 and speed up...
متن کاملOptimal asset control of the diffusion model under consideration of the time value of ruin
In this paper, we consider the optimal asset control of a financial company which can control its liquid reserves by paying dividends and by issuing new equity. We assume that the liquid surplus of the company in the absence of control is modeled by the diffusion model. It is a hot topic to maximize the expected present value of dividends payout minus equity issuance until the time of ba...
متن کاملGambler's Ruin
Consider two gamblers A, B with initial integer fortunes a, b. Let m = a + b denote the initial sum of fortunes. In each round of a fair game, one player wins and is paid 1 by the other player: (a, b) 7 → ((a + 1, b − 1) with probability 1/2, (a − 1, b + 1) 00 Assume that rounds are independent for the remainder of this essay. The ruin probability p E for a gambler E is the probability that E's...
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ژورنال
عنوان ژورنال: The Iowa Review
سال: 2015
ISSN: 0021-065X,2330-0361
DOI: 10.17077/0021-065x.7647