Optimal risk and dividend control for a company with a debt liability
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Publication:1265921
DOI10.1016/S0167-6687(98)00012-2zbMath0907.90101WikidataQ126789252 ScholiaQ126789252MaRDI QIDQ1265921
Publication date: 1998
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
stochastic differential equations; reinsurance; optimal dividend policy; stochastic regular-singular control
93E20: Optimal stochastic control
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Cites Work
- Asymptotic expansions for Markov processes with Lévy generators
- Controlled diffusion models for optimal dividend pay-out
- Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
- Stochastic differential equations with reflecting boundary conditions
- Optimal proportional reinsurance policies for diffusion models
- Optimization of the flow of dividends
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