De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process

DOI10.1080/15326349.2011.567930zbMath1214.91051arXiv0906.2100MaRDI QIDQ3006673

Irmina Czarna, Zbigniew Palmowski

Publication date: 20 June 2011

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.2100

zbMATH Keywords

proportional reinsurance; dividend; two-dimensional risk process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

93E20: Optimal stochastic control

Related Items

Optimal dividend strategies for two collaborating insurance companies, Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks, A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme, Optimal dividend payments for a two-dimensional insurance risk process, Recursive methods for a multi-dimensional risk process with common shocks, A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process

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