Optimal impulse and regular control strategies for proportional reinsurance problem
The aim of this paper is to investigate the proportional reinsurance problem on the basis of stochastic control that includes (for the first time) the impulse control. The dynamics of the reserve is modeled as a combination of the impulse control with regular controls, and the expected total discount pay-out; i.e. return function is derived from present until bankruptcy. A set of sufficient conditions for the solution of optimal return function, its explicit form and the optimal stochastic control strategies for the impulse and regular controls are obtained.
- Optimal impulse and regular control strategies on proportional reinsurance model
- Optimal impulse control with variance premium principle
- Impulse control of proportional reinsurance with constraints
- Singular optimal control models of a proportional reinsurance problem
- Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
- A diffusion inventory model for deteriorating items
- Controlled diffusion models for optimal dividend pay-out
- Dependence of the optimal risk control decisions on the terminal value for a financial corporation
- Explicit Solution of Inventory Problems with Delivery Lags
- Games of Economic Survival with Discrete- and Continuous-Income Processes
- scientific article; zbMATH DE number 4020069 (Why is no real title available?)
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 1741771 (Why is no real title available?)
- scientific article; zbMATH DE number 1741781 (Why is no real title available?)
- scientific article; zbMATH DE number 3246848 (Why is no real title available?)
- Impulse Control Method and Exchange Rate
- On an inventory model with deteriorating items and decreasing time-varying demand and shortages
- On Bellman equations in quadratic ergodic control with controller constraints
- Optimal choice of dividend barriers for a risk process with stochastic return on investments
- Optimal risk and dividend control for a company with a debt liability
- Optimal risk and dividend distribution control models for an insurance company
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
- Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
- Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects
- Optimal dividend problem with a nonlinear regular-singular stochastic control
- Optimal birth control for competition system of three species with age-structure
- Optimal harvesting for a population dynamics problem with age-structure and diffusion
- Dividend optimization for regime-switching general diffusions
- Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy
- Singular optimal control models of a proportional reinsurance problem
- Optimal impulse and regular control strategies on proportional reinsurance model
- Dividend optimization for general diffusions with restricted dividend payment rates
- scientific article; zbMATH DE number 2154438 (Why is no real title available?)
- Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching
- Impulse control of proportional reinsurance with constraints
- Optimal proportional reinsurance model with transaction costs
This page was built for publication: Optimal impulse and regular control strategies for proportional reinsurance problem
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2386802)
