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

MaRDI QIDQ1941015zbMATH OpenFDO

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

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)

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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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