Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes

DOI10.1080/14697680902968005zbMath1208.91060MaRDI QIDQ3064017

Lihua Bai, Hua-Yue Zhang, Jun-Yi Guo

Publication date: 20 December 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902968005

zbMATH Keywords

dynamic programming; stochastic processes; transaction costs; optimal policies; insurance mathematics

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

91G50: Corporate finance (dividends, real options, etc.)

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OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE, Optimal reinsurance and dividends with transaction costs and taxes under thinning structure, Optimal dividends and reinsurance with capital injection under thinning dependence, Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching, Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework, Optimal reinsurance and dividend under model uncertainty, Optimal dividend and risk control strategies for an insurer with two groups of reinsurers, Optimal insurance risk control with multiple reinsurers, Dividends and reinsurance under a penalty for ruin, Optimal dividend and investment problems under Sparre Andersen model, 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, Optimal dividend and risk control policies in the presence of a fixed transaction cost, Optimal dividend problem with a nonlinear regular-singular stochastic control, Optimal dividend and equity issuance problem with proportional and fixed transaction costs, Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle, Optimal dividend and reinsurance in the presence of two reinsurers

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