On optimal control of capital injections by reinsurance and investments

DOI10.1007/S11857-010-0124-0zbMath1205.91080OpenAlexW2059228518MaRDI QIDQ621769

Julia Eisenberg

Publication date: 28 January 2011

Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)

Full work available at URL: https://kups.ub.uni-koeln.de/3037/1/Diss.pdf

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (6)

Minimisation of penalty payments by investments and reinsurance ⋮ PORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTS ⋮ On optimal control of capital injections by reinsurance and investments ⋮ Optimal dividend and equity issuance problem with proportional and fixed transaction costs ⋮ Optimal investment under transaction costs for an insurer ⋮ An optimal reinsurance problem in the Cramér-Lundberg model

Cites Work

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• On optimal control of capital injections by reinsurance and investments
• Optimal control of capital injections by reinsurance in a diffusion approximation
• Dividend maximization under consideration of the time value of ruin
• Minimising expected discounted capital injections by reinsurance in a classical risk model
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Optimal investment for insurers
• Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach

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