Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs

DOI10.1016/j.insmatheco.2013.11.003zbMath1291.91111OpenAlexW2030092489MaRDI QIDQ2015480

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

zbMATH Keywords

viscosity solutionproportional reinsurancenon-uniformly elliptic equationoptimal impulse controlfixed and proportional transaction costsoptimal dividend and reinvestment

Mathematics Subject Classification ID

Related Items (13)

Time-consistent proportional reinsurance and investment strategies under ambiguous environment ⋮ Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities ⋮ Optimal dividend and reinsurance in the presence of two reinsurers ⋮ Dividend and capital injection optimization with transaction cost for Lévy risk processes ⋮ OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE ⋮ Optimal investment with transaction costs and dividends for an insurer ⋮ Optimal dividend and risk control strategies for an insurer with two groups of reinsurers ⋮ 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 ⋮ Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching ⋮ Optimal size of business and dividend strategy in a nonlinear model with refinancing and liquidation value ⋮ Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework ⋮ An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal dividend and investing control of an insurance company with higher solvency constraints
• Optimal dividend and issuance of equity policies in the presence of proportional costs
• Optimal financing and dividend control of the insurance company with proportional reinsurance policy
• Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
• Continuous-time stochastic control and optimization with financial applications
• On the Hamilton-Jacobi-Bellman equations
• Properties of functions of the excess of loss retention limit with applications
• Controlled diffusion models for optimal dividend pay-out
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Optimal control of a big financial company with debt liability under bankrupt probability constraints
• Optimal risk and dividend distribution control models for an insurance company
• Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility
• Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes
• On the Optimal Stochastic Impulse Control of Linear Diffusions
• Optimal Dividends in the Dual Model with Diffusion
• Stochastic differential equations with reflecting boundary conditions
• User’s guide to viscosity solutions of second order partial differential equations
• On Optimal Dividend, Reinvestment, and Liquidation Policies for the Firm
• Optimal Financing of a Corporation Subject To Random Returns
• Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
• Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction
• Strategies for Dividend Distribution: A Review
• Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• Optimal risk control and dividend policies under excess of loss reinsurance
• Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
• Optimal Dividends
• On the Time Value of Ruin
• Applied stochastic control of jump diffusions
• Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Dependence of the optimal risk control decisions on the terminal value for a financial corporation

This page was built for publication: Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs