Optimal reinsurance and dividend strategies with capital injections in Cramér-Lundberg approximation model

zbMATH Open1257.62098MaRDI QIDQ1941015FDOQ1941015

Authors: Yidong Wu 

Publication date: 11 March 2013

Published in: Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

Full work available at URL: http://math.usm.my/bulletin/html/vol36_1_19.html

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zbMATH Keywords

optimal dividendstochastic controlcapital injectionsexcess-of-loss

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Optimal stochastic control (93E20)

Cited In (7)

• Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
• Approximation of Optimal Reinsurance and Dividend Payout Policies
• On the time to ruin for a dependent delayed capital injection risk model
• Optimal control of capital injections by reinsurance in a diffusion approximation
• Optimal dividend and dynamic reinsurance strategies with capital injections and proportional costs
• Optimal dividend, capital injection and excess-of-loss reinsurance strategies for insurer with a terminal value of the bankruptcy
• Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate

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