Optimal dividends and ALM under unhedgeable risk

DOI10.1016/J.INSMATHECO.2013.07.007MaRDI QIDQ2015618zbMATH OpenOpenAlexFDO

Authors Antoon Pelsser, Roger J. A. Laevent

Publication date 23 June 2014

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL http://dare.uva.nl/personal/pure/en/publications/optimal-dividends-and-alm-under-unhedgeable-risk(fcd8fb09-f5c8-489a-9f57-b56ac2e0068d).html

zbMATH Keywords

HJB equationoptimal dividendsstochastic control theoryunhedgeable riskALM

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
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• scientific article; zbMATH DE number 3246848 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• Controlled diffusion models for optimal dividend pay-out
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Dividend maximization under consideration of the time value of ruin
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
• Optimal expected exponential utility of dividend payments in a Brownian risk model
• Optimal risk and dividend distribution control models for an insurance company
• Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
• Optimum consumption and portfolio rules in a continuous-time model
• Risk Aversion in the Small and in the Large

Cited in

(2)

• Utility maximization and risk minimization in life and pension insurance
• Optimal Cross Hedging of Insurance Derivatives

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