Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs (Q2015480): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.11.003 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2030092489 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2801427 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Optimal Stochastic Impulse Control of Linear Diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Controlled diffusion models for optimal dividend pay-out / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strategies for Dividend Distribution: A Review / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Dividends in the Dual Model with Diffusion / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5532900 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction / rank
 
Normal rank
Property / cites work
 
Property / cites work: User’s guide to viscosity solutions of second order partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Games of Economic Survival with Discrete- and Continuous-Income Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3868650 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Time Value of Ruin / rank
 
Normal rank
Property / cites work
 
Property / cites work: Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Dividends / rank
 
Normal rank
Property / cites work
 
Property / cites work: Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal financing and dividend control of the insurance company with proportional reinsurance policy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2801407 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4844840 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal dividend and investing control of an insurance company with higher solvency constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal control of a big financial company with debt liability under bankrupt probability constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Hamilton-Jacobi-Bellman equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic differential equations with reflecting boundary conditions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal dividend and issuance of equity policies in the presence of proportional costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal risk control and dividend policies under excess of loss reinsurance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Applied stochastic control of jump diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Properties of functions of the excess of loss retention limit with applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal choice of dividend barriers for a risk process with stochastic return on investments / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time stochastic control and optimization with financial applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Optimal Dividend, Reinvestment, and Liquidation Policies for the Firm / rank
 
Normal rank
Property / cites work
 
Property / cites work: Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA) / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2801360 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Financing of a Corporation Subject To Random Returns / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dependence of the optimal risk control decisions on the terminal value for a financial corporation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal risk and dividend distribution control models for an insurance company / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting / rank
 
Normal rank

Latest revision as of 15:33, 8 July 2024

scientific article
Language Label Description Also known as
English
Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
scientific article

    Statements

    Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs (English)
    0 references
    0 references
    0 references
    23 June 2014
    0 references
    optimal impulse control
    0 references
    optimal dividend and reinvestment
    0 references
    non-uniformly elliptic equation
    0 references
    viscosity solution
    0 references
    fixed and proportional transaction costs
    0 references
    proportional reinsurance
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references