Optimal Ratcheting of Dividends in a Brownian Risk Model-Reference-Cited by-同舟云学术

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Optimal Ratcheting of Dividends in a Brownian Risk Model

Published:2022-07-05 Issue:3 Volume:13 Page:657-701
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Albrecher Hansjörg^ORCID,Azcue Pablo,Muler Nora

Funder

Schweizerischer Nationalfonds zur Förderung der Wissenschaftlichen Forschung

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Reference36 articles.

1. Optimal dividend policy with random interest rates

2. Optimal Ratcheting of Dividends in Insurance

3. Dividends: From refracting to ratcheting

4. Optimality results for dividend problems in insurance

Cited by 12 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal Ratcheting of Dividend Payout Under Brownian Motion Surplus;SIAM Journal on Control and Optimization;2024-09-10

2. Optimal Ratcheting of Dividends with Capital Injection;Mathematics of Operations Research;2024-08-13

3. De Finetti’s control problem with a concave bound on the control rate;Journal of Applied Probability;2024-01-25

4. Modeling of Financial Risk Control Imbalance Dataset Based on Benchmarking Management Optimization Algorithm;Lecture Notes in Electrical Engineering;2024

5. Optimal Loss Reporting in Continuous Time with Full Insurance;SSRN Electronic Journal;2024

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