2 papers
math.OC2021
Time-inconsistent view on a dividend problem with penalty
Josef Anton Strini, Stefan Thonhauser
We consider the dividend maximization problem including a ruin penalty in a diffusion environment. The additional penalty term is motivated by a constraint on dividend strategies.…
q-fin.PM2019
On a dividend problem with random funding
Josef Anton Strini, Stefan Thonhauser
We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted divi…