Optimal dividends with debts and nonlinear insurance risk processes

DOI10.1016/J.INSMATHECO.2013.04.008zbMath1284.91564OpenAlexW2030012745MaRDI QIDQ2445995

Tak Kuen Siu, Hui Meng, Hailiang Yang

Publication date: 15 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/198098

zbMATH Keywords

closed-form solutionHJB equationtransaction costsoptimal dividendinternal competition factorsnonlinear risk processesregular-impulse control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (13)

Optimal insurance risk control with multiple reinsurers ⋮ Optimal investment and premium control for insurers with ambiguity ⋮ Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints ⋮ Optimal investment and premium control in a nonlinear diffusion model ⋮ OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES ⋮ Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency ⋮ Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching ⋮ Optimal debt ratio and dividend payment strategies with reinsurance ⋮ A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems ⋮ Optimal size of business and dividend strategy in a nonlinear model with refinancing and liquidation value ⋮ Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models ⋮ Robust optimal investment and reinsurance of an insurer under jump-diffusion models ⋮ A reinsurance game between two insurance companies with nonlinear risk processes

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