The optimal policy for insurance company under consideration of internal competition and the time value of ruin

DOI10.1007/s10255-014-0422-8zbMath1303.91092OpenAlexW936593048MaRDI QIDQ477513

Wei Liu, Hu, Yijun

Publication date: 9 December 2014

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-014-0422-8

zbMATH Keywords

proportional reinsurancedividend paymentinternal competitionHamilton-Jacobi-Bellman (HJB) equation

Mathematics Subject Classification ID

Cites Work

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• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

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