Optimal impulse and regular control strategies for proportional reinsurance problem

DOI10.1007/BF02936561MaRDI QIDQ2386802zbMATH OpenFDO

Authors Rui-cheng Yang, Kunhui Liu, Bing Xia

Publication date 25 August 2005

Published in Journal of Applied Mathematics and Computing (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationstopping timeimpulse controloptimal return function

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60)

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• Optimal choice of dividend barriers for a risk process with stochastic return on investments
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• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

Cited in

(14)

• Optimal impulse and regular control strategies on proportional reinsurance model
• Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching
• Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
• scientific article; zbMATH DE number 2154438 (Why is no real title available?)
• Optimal proportional reinsurance model with transaction costs
• Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects
• Singular optimal control models of a proportional reinsurance problem
• Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy
• Impulse control of proportional reinsurance with constraints
• Dividend optimization for general diffusions with restricted dividend payment rates
• Dividend optimization for regime-switching general diffusions
• Optimal birth control for competition system of three species with age-structure
• Optimal dividend problem with a nonlinear regular-singular stochastic control
• Optimal harvesting for a population dynamics problem with age-structure and diffusion

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