Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest
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Cites work
- Aspects of risk theory
- Asymptotics of ruin probabilities for controlled risk processes in the small claims case
- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
- scientific article; zbMATH DE number 1122116 (Why is no real title available?)
- scientific article; zbMATH DE number 1515832 (Why is no real title available?)
- scientific article; zbMATH DE number 5223066 (Why is no real title available?)
- Minimising expected discounted capital injections by reinsurance in a classical risk model
- On minimizing the ruin probability by investment and reinsurance
- On the Gerber-Shiu function and change of measure
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- Optimal control of capital injections by reinsurance in a diffusion approximation
- Optimal investment for insurers
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
Cited in
(22)- Maximizing a robust goal-reaching probability with penalization on ambiguity
- The impact of negative interest rates on optimal capital injections
- On fair reinsurance premiums; capital injections in a perturbed risk model
- Minimal cost of a Brownian risk without ruin
- Optimal control with restrictions for a diffusion risk model under constant interest force
- Optimal multidimensional reinsurance policies under a common shock dependency structure
- Minimising expected discounted capital injections by reinsurance in a classical risk model
- Minimisation of penalty payments by investments and reinsurance
- Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model
- Portfolio selection by minimizing the present value of capital injection costs
- Optimal reinsurance: minimize the expected time to reach a goal
- Barrier present value maximization for a diffusion model of insurance surplus
- Nonlinear impulse capital injections problem with reinsurance control
- On optimal control of capital injections by reinsurance and investments
- Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer
- Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. II: Numerical aspects
- On singular control of reflected diffusions
- Irreversible reinsurance: minimization of capital injections in presence of a fixed cost
- An extended Merton problem with relaxed benchmark tracking
- Optimal risk management strategies in a diffusion risk process: a simultaneous problem
- Optimal control of capital injections by reinsurance in a diffusion approximation
- Discrete-time insurance model with capital injections and reinsurance
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