Optimal risk control and dividend distribution policies for a diffusion model with terminal value

DOI10.1016/J.MCM.2011.12.041zbMATH Open1255.91188OpenAlexW2045662906MaRDI QIDQ1931091FDOQ1931091

Authors: Ming Zhou, Jing-Feng Xu 

Publication date: 24 January 2013

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.12.041

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zbMATH Keywords

HJB equationdividendexcess-of-loss reinsuranceterminal valueexpected value principlecheap reinsurance

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Cites Work

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• Optimal Proportional Reinsurance Policies in a Dynamic Setting
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• Optimal control of risk exposure, reinsurance and investments for insurance portfolios
• Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
• An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
• Dividend maximization under consideration of the time value of ruin
• Dependence of the optimal risk control decisions on the terminal value for a financial corporation

Cited In (19)

• Optimal control with restrictions for a diffusion risk model under constant interest force
• The optimal dividend payout model with terminal values and its application
• Approximation of Optimal Reinsurance and Dividend Payout Policies
• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Optimal size of business and dividend strategy in a nonlinear model with refinancing and liquidation value
• Optimal dividend and financing problems for a diffusion model with excess-of-loss reinsurance strategy and terminal value
• The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance
• On optimal dividend and reinsurance problems in the diffusion risk model with random time horizon
• Stochastic control methods for the joint optimization of the risk and dividend policies of a firm
• A Markov decision problem in a risk model with interest rate and Markovian environment
• The optimal strategy for an insurance company under the influence of the terminal value
• Optimal dividend and reinsurance strategies with financing and liquidation value
• Stochastic differential game strategies in the presence of reinsurance and dividend payout
• Dependence of the optimal risk control decisions on the terminal value for a financial corporation
• Some optimisation problems in insurance with a terminal distribution constraint
• Optimal risk control and dividend policies under excess of loss reinsurance
• Optimal control strategy for dividend-payments in a risk model with stochastic premiums
• Optimal risk control and dividend strategies in the presence of two reinsurers: variance premium principle

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