Risk-sensitive dividend problems
نویسندگان
چکیده
منابع مشابه
Optimality Results for Dividend Problems in Insurance∗
This paper is a survey of some classical contributions and recent progress in identifying optimal dividend payment strategies in the framework of collective risk theory. In particular, available mathematical tools are discussed and some challenges are described that occur under various objective functions and model assumptions. Finally, some open research problems in this field are stated. AMS ...
متن کاملDividend Strategies for Insurance risk models
Based on different objectives, various insurance risk models with adaptive polices have been proposed, such as dividend model, tax model, model with credibility premium, and so on. In this report, we will only focus the study on dividend strategies. Here are some reasons why the dividend strategy is of interest. For an insurance company, ruin occurs when a claim size is greater than its reserve...
متن کاملDividend Payments and Related Problems in a Markov-Dependent Insurance Risk Model under Absolute Ruin
In this paper, we study the dividend payments prior to absolute ruin in a Markov-dependent risk process in which the claim occurrence and the claim amount are regulated by an external discrete time Markov chain. A system of integrodifferential equations with boundary conditions satisfied by the moment-generating function, the nth moment of the discounted dividend payments prior to absolute ruin...
متن کاملOptimal Risk / Dividend Distribution Control Models
The current paper presents a short survey of stochastic models of risk control and dividend optimization techniques for a nancial corporation. While being close to consump-tion/investment models of Mathematical Finance, dividend optimization models possess special features which do not allow them to be treated as a particular case of consumption/investment models. In a typical model of this sor...
متن کاملRisk-sensitive loss functions for sparse multi-category classification problems
In this paper, we propose two risk sensitive loss functions to solve the multicategory classification problems where the number of training samples is small and/or there is a high imbalance in the number of samples per class. Such problems are common in the bio-informatics/medical diagnosis areas. The most commonly used loss functions in the literature do not perform well in these problems as t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2015
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2014.10.046