The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance
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Publication:995512
DOI10.1016/J.INSMATHECO.2006.04.009zbMath1141.91467OpenAlexW2073339477MaRDI QIDQ995512
Christine Loft Hunderup, Michael I. Taksar
Publication date: 3 September 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.04.009
Related Items (9)
Minimisation of penalty payments by investments and reinsurance ⋮ Optimal risk control policies for diffusion models with non-cheap proportional reinsurance and bankruptcy value ⋮ OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE ⋮ Optimal risk control and dividend distribution policies for a diffusion model with terminal value ⋮ Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach ⋮ Optimal control of the risk process in a regime-switching environment ⋮ Threshold control of mutual insurance with limited commitment ⋮ The optimal dividend payout model with terminal values and its application ⋮ Optimal proportional reinsurance policies for stochastic models
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- Optimal proportional reinsurance policies for diffusion models
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
- Dependence of the optimal risk control decisions on the terminal value for a financial corporation
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