Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest

By Jun Cai, Hans U. Gerber, Hailiang Yang. 2006

83 citations recorded by the source corpus.

Subfields: Finance, Management Information Systems, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/3db495f2622614d7adc56744013116f8ce1f9d84

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Lv Chen
2. Yi Lu
3. Yang Shen
4. Shuanming Li
5. Jostein Paulsen
6. Kristina P. Pavlova
7. Qihe Tang
8. Gordon E. Willmot

In Management Information Systems

1. Jostein Paulsen

In Management Science and Operations Research

1. Yi Lu
2. Shuanming Li
3. Lv Chen
4. Yang Shen
5. Jostein Paulsen
6. Kristina P. Pavlova
7. Qihe Tang
8. Kam Chuen Yuen

Citations in the corpus

• ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER (2018, background): “The reader may refer to Cai et al. (2006) for more discussions on the necessity of introducing debit and credit interest to insurance risk models.”
• Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model (2007, background): “…barrier strategies have been studied in a number of papers and books, including Bühlmann (1970), Segerdahl (1970), Gerber (1972, 1979, 1981), Paulsen and Gjessing (1997), Albrecher and Kainhofer (2002), Højgaard (2002), Lin, Willmot, and Drekic (2003), Dickson and Waters (2004), Li and…”
• Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs (2007, background): “Some other particular solutions when d0 = 0 can be found in Paulsen and Gjessing (1997) and Cai et al. (2006).”