Optimal impulse and regular control strategies for proportional reinsurance problem (Q2386802)

The aim of this paper is to investigate the proportional reinsurance problem on the basis of stochastic control that includes (for the first time) the impulse control. The dynamics of the reserve is modeled as a combination of the impulse control with regular controls, and the expected total discount pay-out; i.e. return function is derived from present until bankruptcy. A set of sufficient conditions for the solution of optimal return function, its explicit form and the optimal stochastic control strategies for the impulse and regular controls are obtained.