Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
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Publication:2015480
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Cites work
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- scientific article; zbMATH DE number 791171 (Why is no real title available?)
- scientific article; zbMATH DE number 3246848 (Why is no real title available?)
- Applied stochastic control of jump diffusions
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- Dynamic optimization of long-term growth rate for a portfolio with transaction costs and logarithmic utility.
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- Games of Economic Survival with Discrete- and Continuous-Income Processes
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- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
- On Optimal Dividend, Reinvestment, and Liquidation Policies for the Firm
- On the Hamilton-Jacobi-Bellman equations
- On the Optimal Stochastic Impulse Control of Linear Diffusions
- On the Time Value of Ruin
- On the non-optiomality of proportional reinsurance according to the dividend criterion
- Optimal Dividends
- Optimal Dividends in the Dual Model with Diffusion
- Optimal Financing of a Corporation Subject To Random Returns
- Optimal choice of dividend barriers for a risk process with stochastic return on investments
- Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
- Optimal control of a big financial company with debt liability under bankrupt probability constraints
- 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 dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
- Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
- Optimal financing and dividend control of the insurance company with proportional reinsurance policy
- Optimal mixed impulse-equity insurance control problem with reinsurance
- Optimal quota share reinsurance for dependent lines of business
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- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
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- Optimization of a chain of excess-of-loss reinsurance layers with aggregate stop-loss limits
- Properties of functions of the excess of loss retention limit with applications
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes
- Stochastic differential equations with reflecting boundary conditions
- Strategies for dividend distribution: a review
- User’s guide to viscosity solutions of second order partial differential equations
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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