Optimal impulse control with variance premium principle

DOI10.1360/012012-618MaRDI QIDQ5017883zbMATH OpenOpenAlexWikidataFDO

Authors Hui Meng

Publication date 17 December 2021

Published in SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1360/012012-618

zbMATH Keywords

fixed transaction costimpulse dividendreinsurance strategyvariance premium principle

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05) Impulsive control/observation systems (93C27) Optimal stochastic control (93E20)

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(16)

• Optimal risk control and dividend strategies in the presence of two reinsurers: variance premium principle
• Optimal dividend and proportional reinsurance strategy under standard deviation premium principle
• Continuous-time optimal reinsurance strategy with nontrivial curved structures
• Optimal impulse and regular control strategies for proportional reinsurance problem
• Optimal insurance risk control with multiple reinsurers
• 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
• Optimal impulse and regular control strategies on proportional reinsurance model
• Optimal Impulse Control When Control Actions Have Random Consequences
• Optimal dividend, capital injection and reinsurance strategies with variance premium principle
• Nonlinear impulse capital injections problem with reinsurance control
• A note on optimal insurance risk control with multiple reinsurers
• OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
• Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process
• Premium control with reinforcement learning
• Impulse control of proportional reinsurance with constraints

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