Dividend maximization under consideration of the time value of ruin

By Stefan Thonhauser, Hansjörg Albrecher *. 2007

88 citations recorded by the source corpus.

Subfields: Demography, Management Science and Operations Research, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/510efca7b91d9f3cc7f78451d7043074086c944e

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In Demography

In Management Science and Operations Research

In Mathematical Physics

Citations in the corpus

An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density (2009, methodology): “In the case when X is a Cramér–Lundberg process with exponentially distributed claims, the control problem was solved by Gerber [12] for S = 0 and by Thonhauser and Albrecher [26] for S 0 (note that Thonhauser and Albrecher [26, Lemma 10] distinguished between the cases of the optimal strategy bei”
De Finetti's optimal dividends problem with an affine penalty function at ruin (2010, methodology): “…case S 0 and K = 0 was studied by Thonhauser and Albrecher [33] for the compound Poisson risk process and the Brownian motion risk process, while Boguslavskaya [11], and Shreve, Lehoczky and Gaver [32], considered the case S ∈ R and K = 0 in a Brownian motion and diffusion setting, respectively.”
On Gerber–Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function (2011, background): “Several alternative objectives have been proposed recently, involving final penalties w(x) at ruin (see Dickson and Waters [16], Gerber et al. [21] and Zajic [43]), or continuous payoffs until ruin; see Albrecher and Thonhauser [41], Cai et al. [14].”
Optimal dividends problem with a terminal value for spectrally positive Levy processes (2013, methodology): “The case S 0 was studied by Thonhauser and Albrecher (2007) for the compound Poisson model and Brownian motion risk process.”