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

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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