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Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility
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Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility (2011)Optimal Dividend Strategies for a Compoun…An optimal dividends problem with transaction costs for spectrally negative Lévy processes (2009)An optimal dividends problem …Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs (2008)Optimal financing and dividen…Optimal dividend strategies in a Cramér–Lundberg model with capital injections (2008)Optimal dividend strategies i…Stochastic Control in Insurance (2007)Stochastic Control in Insuran…Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs (2007)Optimal dividend payments unt…OPTIMAL DIVIDEND POLICY WITH MEAN‐REVERTING CASH RESERVOIR (2006)OPTIMAL DIVIDEND POLICY WITH …Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach (2005)Optimality of an $(s, S)$ Pol…OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL (2005)OPTIMAL REINSURANCE AND DIVID…Stochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…Stochastic Processes for Insurance and Finance. By T. Rolski, H. Schmidli, V. Schmidt and J. Teugels (John Wiley, Chichester, 1999) (2000)Stochastic Processes for Insu…Stochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insu…Stochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insu…Some applications of impulse control in mathematical finance (1999)Some applications of impulse …Portfolio optimisation with strictly positive transaction costs and impulse control (1998)Portfolio optimisation with s…Optimization of the flow of dividends (1995)Optimization of the flow of d…Markov Models & Optimization (1993)Markov Models & OptimizationTarget Zones and Exchange Rate Dynamics (1991)Controlled Markov Processes and Viscosity Solutions (2005)Brownian Motion and Stochastic Calculus (2007)A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (2008)Impulse Control of Multidimensional Jump Diffusions (2010)Introduction to the Theory of Queues. (1963)An equilibrium characterization of the term structure (1977)Extreme Values, Regular Variation and Point Processes (1987)On minimizing the ruin probability by investment and reinsurance (2002)The application of continuous-time random walks in finance and economics (2005)On the optimal dividend problem for a spectrally negative Lévy process (2007)Stochastic Processes for Insurance and Finance (2000)De Finetti’s optimal dividends problem with an affine penalty function at ruin (2009)Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs (2011)Optimal dividend problems for a jump-diffusion model with captial injections and proportional transaction costs (2014)Optimum consumption and portfolio rules in a continuous-time model (1971)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Portfolio Selection with Transaction Costs (1990)Asset Prices and Trading Volume Under Fixed Transactions Costs (2001)Asymptotic analysis for optimal investment and consumption with transaction costs (2004)A model of optimal portfolio selection under liquidity risk and price impact (2006)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)Controlled Diffusion Processes (1980)Continuous Martingales and Brownian Motion (1999)Optimal investment for insurer with jump-diffusion risk process (2005)Fluctuations of Lévy Processes with Applications (2014)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)Optimality results for dividend problems in insurance (2009)Strategies for Dividend Distribution: A Review (2009)Stability and convergence of moments for multiclass queueing networks via fluid limit models (1995)Dynamic modeling and control of supply chain systems: A review (2007)Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling (2002)Quantifying Distributional Model Risk via Optimal Transport (2019)Optimality of the threshold dividend strategy for the compound Poisson model (2011)
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  • 2009An optimal dividends problem with transaction costs for spectrally negative Lévy processes

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71 cited
  • 2007Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs69 cited
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