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ArticleOptimal dividend strategies in a Cramér–Lundberg model with capital injections

Natalie Kulenko2008

Article2008

Optimal dividend strategies in a Cramér–Lundberg model with capital injections

Natalie Kulenko · Hanspeter Schmidli

138 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Stochastic processes and financial applications

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References

2001Stochastic Processes for Insurance and Finance 2000Stochastic Processes for Insurance and Finance 2007Stochastic Control in Insurance 2004Some Optimal Dividends Problems 1984Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers 1978Optimal control of a Brownian storage system

Cited by

2011Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs 2009De Finetti’s optimal dividends problem with an affine penalty function at ruin 2014Optimal dividend problems for a jump-diffusion model with captial injections and proportional transaction costs 2011Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle 2010Optimal Dividends and Capital Injections in the Dual Model with Diffusion 2010Minimising expected discounted capital injections by reinsurance in a classical risk model 2013Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections

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2009Optimality results for dividend problems in insurancearticle · 4 shared references 2010Minimising expected discounted capital injections by reinsurance in a classical risk modelarticle · 3 shared references 2011On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk-process in the presence of a penalty functionpreprint · 3 shared references 2002On minimizing the ruin probability by investment and reinsurancearticle · 2 shared references 2005The application of continuous-time random walks in finance and economicsarticle · 2 shared references 2009Strategies for Dividend Distribution: A Reviewarticle · 2 shared references

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Year2008

Typearticle

Published2008-06-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations138

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2008.05.013

openalex_workW1983448988

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2015On Gerber–Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function