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Abstract: The current paper presents a short survey of stochastic models of risk control and dividend optimization techniques for a financial corporation. While being close to consumption /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. (Update)
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BibTeX entry: (Update)
@misc{ taksar-optimal,
author = "Michael I. Taksar",
title = "Optimal Risk/Dividend Distribution Control Models. Applications to Insurance",
url = "citeseer.ist.psu.edu/taksar99optimal.html" }
Citations (may not include all citations):163 Controlled Markov Processes and Viscosity Solutions (context) - Fleming, Soner - 1993
98 Brownian Motion and Stochastic Flow Systems (context) - Harrison - 1985
61 Continuous-Time Finance (context) - Merton - 1990
60 Deterministic and Stochastic Optimal Control (context) - Fleming, Rishel - 1975
21 Aspects of Risk Theory (context) - Grandell - 1990
18 Optimal Consumption and Portfolio Policies when Asset Prices.. (context) - Cox - 1989
17 Optimization over Time - Dynamic Programming and Stochastic .. (context) - Whittle - 1983
17 An Introduction to Mathematical Risk Theory (context) - Gerber - 1979
13 Stochastic Differential Equations with Reflecting Boundary C.. (context) - Lions, Sznitman - 1984
12 Stochastic Calculus and Applications (context) - Elliott - 1982
12 Theorie de la speculation (context) - Bachelier - 1900
12 Optimal Proportional Reinsurance Policies for Diffusion Mode.. (context) - Hjgaard, Taksar - 1998
12 Mathematical Methods in Risk Theory (context) - Buhlmann - 1970
9 Risk vs (context) - Radner, Shepp - 1996
9 Instantaneous Control of Brownian Motion (context) - Harrison, Taksar - 1983
[Article contains additional citations not shown here]
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