Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency
From MaRDI portal
Publication:1721442
DOI10.1155/2018/7928953zbMath1427.91266OpenAlexW2849598794WikidataQ129490114 ScholiaQ129490114MaRDI QIDQ1721442
Publication date: 8 February 2019
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2018/7928953
Related Items
Cites Work
- Optimal debt ratio and dividend payment strategies with reinsurance
- Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
- Optimal investment and reinsurance of an insurer with model uncertainty
- The perturbed compound Poisson risk process with investment and debit interest
- Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal investment policy and dividend payment strategy in an insurance company
- Consumption and portfolio rules for time-inconsistent investors
- Optimal choice of dividend barriers for a risk process with stochastic return on investments
- Optimal investment and premium control in a nonlinear diffusion model
- Time-inconsistent optimal control problems and the equilibrium HJB equation
- On minimizing the ruin probability by investment and reinsurance
- Optimal dividend problem with a terminal value for spectrally positive Lévy processes
- Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
- Optimal dividends with debts and nonlinear insurance risk processes
- On dividend strategies with non-exponential discounting
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- On Optimal Dividend Strategies In The Compound Poisson Model
- Strategies for Dividend Distribution: A Review
- Optimal Dividends