We consider a model of a nancial corporation which has to nd an optimal policy balancing its risk and expected proots. The example treated in this paper is related to an insurance company with the risk control method known in the industry as excess-of-loss reinsurance. Under this scheme the insurance company divert part of its premium stream to another company in exchange of an obligation to pi...

In this paper, the optimal dividend (subject to transaction costs) and reinsurance (with two reinsurers) problem is studied in the limit diffusion setting. It is assumed that transaction costs and taxes are required when dividends occur, and that the premiums charged by two reinsurers are calculated according to the exponential premium principle with different parameters, which makes the stocha...

This paper studies the bailout optimal dividend problem with regime switching under constraint that payments can be made only at arrival times of an independent Poisson process while capital injected continuously in time. We show optimality regime-modulated Parisian-classical reflection strategy when underlying risk model follows a general spectrally negative Markov additive process. In order t...

This paper demonstrates that intermediate goods should not be taxed even in the presence of dividend payments to households, thus clarifying previous results. We also …nd that optimal government policy in a second best world may include stockpiles of output — private supply exceeds private demand, and the government purchases the surplus. This may provide a possible explanation for some agricul...

In a Lévy insurance risk model, under the assumption that the tail of the Lévy measure is log-convex, we show that either a horizontal barrier strategy or the take-the-money-and-run strategy maximizes, among all admissible strategies, the dividend payments subject to an affine penalty function at ruin. As a key step for the proof, we prove that, under the aforementioned condition on the jump me...

Article history: Received 9 August 2011 Received in revised form 11 June 2012 Accepted 14 June 2012 Available online 21 June 2012 In this paper,we examinewhether a firm's relationshipwith its principal customers/suppliers affects its payout policies. A firm has customer–supplier relationshipswhen its business depends on a small number of major customers/suppliers. The extant literature indicate...

This paper explores some of the empirical features generated in an agent-based computational stock market with market participants adapting and evolving over time. Investors view differing lengths of past information as being relevant to their investment decision making process. The interaction of these memory lengths in determining market prices creates a kind of market ecology in which it is ...

We investigate a model of a corporation which faces constant liability payments and which can choose a production/business policy from an available set of control policies with diierent expected proots and risks. The objective is to maximize the expected present value of the total dividend distributions. The main purpose of this paper is to deal with the impact of constraints on business activi...

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...