Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
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Publication:2015480
DOI10.1016/J.INSMATHECO.2013.11.003zbMATH Open1291.91111OpenAlexW2030092489MaRDI QIDQ2015480FDOQ2015480
Authors: Huiqi Guan, Zongxia Liang 
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.11.003
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proportional reinsuranceviscosity solutionnon-uniformly elliptic equationoptimal impulse controlfixed and proportional transaction costsoptimal dividend and reinvestment
Numerical optimization and variational techniques (65K10) Dynamic programming (90C39) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)
Cites Work
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Cited In (15)
- A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
- Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
- Time-consistent proportional reinsurance and investment strategies under ambiguous environment
- Optimal size of business and dividend strategy in a nonlinear model with refinancing and liquidation value
- Dividend and capital injection optimization with transaction cost for Lévy risk processes
- Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching
- Optimal dividend and reinsurance strategies with financing and liquidation value
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Optimal dividend and reinsurance in the presence of two reinsurers
- Optimal dividend and risk control strategies for an insurer with two groups of reinsurers
- Optimal investment with transaction costs and dividends for an insurer
- Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities
- An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems
- Optimal dividend and capital injection strategy with excess-of-loss reinsurance and transaction costs
- Optimal risk control and dividend strategies in the presence of two reinsurers: variance premium principle
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