Impulse control of proportional reinsurance with constraints

DOI10.1155/2011/190603zbMath1229.91165OpenAlexW1997121606WikidataQ58688894 ScholiaQ58688894MaRDI QIDQ638026

Tak Kuen Siu, Hui Meng

Publication date: 8 September 2011

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/190603

zbMATH Keywords

proportional reinsuranceproportional transaction costsfixed transaction costsoptimal dividend policyoptimal impulse control

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (8)

Optimal insurance risk control with multiple reinsurers ⋮ OPTIMAL FINANCING AND DIVIDEND DISTRIBUTION WITH TRANSACTION COSTS IN THE CASE OF RESTRICTED DIVIDEND RATES ⋮ OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES ⋮ Optimal dividends with debts and nonlinear insurance risk processes ⋮ Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching ⋮ A note on optimal insurance risk control with multiple reinsurers ⋮ Continuous-time optimal reinsurance strategy with nontrivial curved structures ⋮ Optimal dividend and proportional reinsurance strategy under standard deviation premium principle

Cites Work

• Controlled diffusion models for optimal dividend pay-out
• Optimal dividend payouts for diffusions with solvency constraints
• Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
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• Impulse Control of Brownian Motion: The Constrained Average Cost Case
• Optimality of an $(s,S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-Variational Inequalities Approach
• On the Optimal Stochastic Impulse Control of Linear Diffusions
• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
• Games of Economic Survival with Discrete- and Continuous-Income Processes

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