Optimal control of a big financial company with debt liability under bankrupt probability constraints

DOI10.1007/s11464-011-0120-2zbMath1263.91025arXiv1007.5376OpenAlexW2118132673MaRDI QIDQ1946948

Zongxia Liang, Bin Sun

Publication date: 10 April 2013

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1007.5376

zbMATH Keywords

stochastic differential equations with reflectionoptimal dividend barrierbankrupt probability constraintsdebt liabilitydividend payout processregular-singular stochastic optimal control

Mathematics Subject Classification ID

Related Items (4)

Model predictive control of cash balance in a cash concentration and disbursements system ⋮ Dividend optimization for jump-diffusion model with solvency constraints ⋮ Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs ⋮ Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks

Cites Work

• Unnamed Item
• Optimal dividend and investing control of an insurance company with higher solvency constraints
• Optimal financing and dividend control of the insurance company with proportional reinsurance policy
• Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
• A comparison theorem for solutions of stochastic differential equations and its applications
• Optimal risk and dividend control for a company with a debt liability
• Controlled diffusion models for optimal dividend pay-out
• Optimal dividend payouts for diffusions with solvency constraints
• Interplay between dividend rate and business constraints for a financial corporation
• Optimal risk and dividend distribution control models for an insurance company
• Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
• A constrained non-linear regular-singular stochastic control problem, with applications.
• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
• Stochastic differential equations with reflecting boundary conditions
• A diffusion approximation for the ruin function of a risk process with compounding assets
• A class of approximations of ruin probabilities
• A remark on ‘A class of approximations of ruin probabilities’
• Diffusion approximations for a risk process with the possibility of borrowing and investment
• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• Diffusion approximations in collective risk theory
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Optimal risk control for a large corporation in the presence of returns on investments

This page was built for publication: Optimal control of a big financial company with debt liability under bankrupt probability constraints