Some Optimal Dividends Problems

By D. Dickson, H. Waters. ASTIN Bulletin: The Journal of the International Actuarial Association, 2004

244 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/aade280e63779a9ccf58cc952ac3d244d0541b01

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Citations in the corpus

On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008, unknown): “Besides finding the optimal strategy, a large body of literature exists [9, 12, 15, 16, 19, 23, 24, 25, 28, 32, 33] in which expressions are derived for, for example, the expected time of ruin, the moments of the expected paid out dividends and the Gerber–Shiu discounted penalty function, under the ”
Minimising expected discounted capital injections by reinsurance in a classical risk model (2011, background): “In order to prevent ruin, Dickson & Waters (2004) proposed that the share holders have to cover the deficit at ruin.”
A Risk Model with Multilayer Dividend Strategy (2007, methodology): “For the special case of two layers with a1 0, a2 c1 c2 (i.e., the horizontal barrier strategy), Dickson and Waters (2004) used a direct conditioning technique to derive equations for W2,m(u); however, in the general setting the above approach via the moment-generating function is more convenient.”
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.”
Distribution of the Present Value of Dividend Payments in a Lévy Risk Model (2007, methodology): “[4] Dickson, D. C. M. and Waters, H. R. (2004).”
On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier (2005, methodology): “In Section 2 we will derive a partial integro-differential equation for the moment generating function of Du,b in the linear dividend barrier model, thereby simplifying and generalizing the corresponding result in [9].”
De Finetti's optimal dividends problem with an affine penalty function at ruin (2010, background): “…[15], Gerber, Shiu and Smith [19], and Gerber, Lin and Yang [17] looked at related value functions and problems in the compound Poisson setting; the case S = 0 and K = 1 was discussed in [15, 19] and a numerical study, for penalty functions taking the form of a polynomial of degree less than…”
The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion (2006, background): “The solution of the homogenous equation (6) is uniquely determined by the initial conditions v(0) and v′(0) and can be solved by Laplace transforms.”
Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process (2007, methodology): “Denoting by Fx the distribution of the deficit Yσa −a under Px , we can also find the Laplace transform of so-called red period, r , that is, the duration of the first negative surplus (see Dos Reis (1993) and Dickson and Dos Reis (1996)).”