Optimal financing and dividend control of the insurance company with excess-of-loss reinsurance policy

DOI10.1016/j.spl.2013.09.034zbMath1284.91252OpenAlexW2048738625MaRDI QIDQ2444386

Wei Liu, Hu, Yijun

Publication date: 9 April 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.09.034

zbMATH Keywords

optimal strategyexcess-of-loss reinsuranceHJB equationdividendequity issuance

Mathematics Subject Classification ID

Related Items (7)

OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE ⋮ Optimal impulse dividend and capital injection model with proportional and fixed transaction costs ⋮ Optimal dividend and capital injection strategy with excess-of-loss reinsurance and transaction costs ⋮ Optimal risk control and dividend strategies in the presence of two reinsurers: variance premium principle ⋮ Review of statistical actuarial risk modelling ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure ⋮ Stochastic optimal control on dividend policies with bankruptcy

Cites Work

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• 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
• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
• Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance
• Optimal Financing of a Corporation Subject To Random Returns
• Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
• Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
• 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

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