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Motivated by recent developments in risk management based on the U.S. bankruptcy code, we revisit De Finetti optimal dividend problems by incorporating the reorganization process and regulators intervention documented in Chapter 11 bankruptcy. The resulting surplus process, bearing financial stress towards the more subtle concept of bankruptcy, corresponds to non-standard spectrally negative Levy processes with endogenous regime switching. In both models without and with fixed transaction costs, some explicit expressions of the expected net present values under a barrier strategy, new to the literature, are established in terms of scale functions. With the help of these expressions, when the tail of the Levy measure is log-convex, the optimal dividend control in each problem is verified to be of the barrier type and the associated optimal barrier can be obtained in analytical form.
This paper is concerned with a stochastic linear-quadratic (LQ) optimal control problem on infinite time horizon, with regime switching, random coefficients, and cone control constraint. Two new extended stochastic Riccati equations (ESREs) on infini
In this paper we study a class of time-inconsistent terminal Markovian control problems in discrete time subject to model uncertainty. We combine the concept of the sub-game perfect strategies with the adaptive robust stochastic to tackle the theoret
Adopting a probabilistic approach we determine the optimal dividend payout policy of a firm whose surplus process follows a controlled arithmetic Brownian motion and whose cash-flows are discounted at a stochastic dynamic rate. Dividends can be paid
We solve an infinite time-horizon bounded-variation stochastic control problem with regime switching between $N$ states. This is motivated by the problem of a government that wants to control the countrys debt-to-GDP (gross domestic product) ratio. I
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurer in a finite time horizon. The goal of the insurer is to maximize its expected cumulative discounted dividend payouts until bankruptcy or maturity which comes