no code implementations • 4 Dec 2023 • Chonghu Guan, Jiacheng Fan, Zuo Quan Xu
This paper studies an optimal dividend payout problem with drawdown constraint in a Brownian motion model, where the dividend payout rate must be no less than a fixed proportion of its historical running maximum.
no code implementations • 29 Aug 2023 • Chonghu Guan, Zuo Quan Xu
Otherwise, by contrast, the optimal dividend ratcheting strategy relays on the surplus level and one should only ratchet up the dividend payout rate when the surplus level touches the dividend ratcheting free boundary.
no code implementations • 4 Jan 2022 • Chonghu Guan, Xiaomin Shi, Zuo Quan Xu
We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black-Scholes market with different borrowing and saving rates.
no code implementations • 14 Sep 2021 • Chonghu Guan, Zuo Quan Xu, Fahuai Yi
We overcome this by transforming it into an equivalent stochastic control problem in which the control constraint is state-independent so that the standard theory can be applied.
no code implementations • 2 Aug 2020 • Chonghu Guan, Zuo Quan Xu, Rui Zhou
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon.
