Dividend optimization for regime-switching general diffusions (Q2513600)

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Language	Label	Description	Also known as
English	Dividend optimization for regime-switching general diffusions	scientific article

Statements

scholarly article

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Dividend optimization for regime-switching general diffusions (English)

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Insurance Mathematics \& Economics

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publication date

28 January 2015

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zbMATH Keywords

dividend

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dynamic programming principle

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general diffusion

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optimization

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regime-switching

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2013.07.006

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A class of solvable stochastic dividend optimization problems: on the general impact of flexibility on valuation

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Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

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Controlled diffusion models for optimal dividend pay-out

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Approximation of Optimal Reinsurance and Dividend Payout Policies

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CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM

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OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR

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A constrained non-linear regular-singular stochastic control problem, with applications.

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Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs

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Optimal risk control for a large corporation in the presence of returns on investments

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A comparison theorem for solutions of stochastic differential equations and its applications

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Optimal dividend distribution under Markov regime switching

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Optimal dividend payouts for diffusions with solvency constraints

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Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs

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Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs

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Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers

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EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING

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Classical and singular stochastic control for the optimal dividend policy when there is regime switching

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Optimal risk and dividend distribution control models for an insurance company

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Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching

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Optimal impulse and regular control strategies for proportional reinsurance problem

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Asymptotically optimal dividend policy for regime-switching compound Poisson models

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Ruin theory for a Markov regime-switching model under a threshold dividend strategy

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On differentiability of ruin functions under Markov-modulated models

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Identifiers

zbMATH Open document ID

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10.1016/j.insmatheco.2013.07.006

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2513600

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