Optimal proportional reinsurance policies for diffusion models

DOI10.1080/03461238.1998.10414000zbMath1075.91559OpenAlexW2139934558MaRDI QIDQ4235023

Michael I. Taksar, Bjarne Højgaard

Publication date: 25 March 1999

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1998.10414000

Mathematics Subject Classification ID

Related Items (73)

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dividend problem with a nonlinear regular-singular stochastic control ⋮ Optimal dividend and investing control of an insurance company with higher solvency constraints ⋮ Optimal investment and risk control for an insurer with stochastic factor ⋮ Optimal financing and dividend control of the insurance company with proportional reinsurance policy ⋮ On reinsurance and investment for large insurance portfolios ⋮ Optimal reinsurance and investment strategy with delay in Heston's SV model ⋮ Optimal Proportional Reinsurance Policies in a Dynamic Setting ⋮ On optimal dividends with exponential and linear penalty payments ⋮ Optimal proportional reinsurance for controlled risk process which is perturbed by diffusions ⋮ Optimal Investment for an Insurer to Minimize Its Probability of Ruin ⋮ Optimal investment and reinsurance with premium control ⋮ The optimal dividend payout model with terminal values and its application ⋮ On optimal proportional reinsurance and investment in a hidden Markov 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Maximizing Dividend Pay-outs ⋮ Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth ⋮ Stochastic optimal control on dividend policies with bankruptcy ⋮ OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL ⋮ Stochastic control for optimal new business ⋮ Stochastic optimal control on impulse dividend model with stochastic returns ⋮ Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model ⋮ Sensitivity of the joint survival probability for reinsurance schemes ⋮ Ruin Minimization for Insurers with Borrowing Constraints ⋮ Strategies for Dividend Distribution: A Review ⋮ Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games ⋮ Optimal dividend and proportional reinsurance strategy under standard deviation premium principle ⋮ Optimal investment for insurer with jump-diffusion risk process

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