Optimal risk control policies for diffusion models with non-cheap proportional reinsurance and bankruptcy value
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Publication:2392647
DOI10.1007/S11424-011-9180-3zbMATH Open1273.91242OpenAlexW2147864966MaRDI QIDQ2392647FDOQ2392647
Authors: Minghua Wu, Aimin Zhou, Rong Wu 
Publication date: 2 August 2013
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-011-9180-3
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Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
Cites Work
- Controlled diffusion models for optimal dividend pay-out
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- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
- Optimal proportional reinsurance policies for diffusion models with transaction costs
- Optimal proportional reinsurance policies for diffusion models
- The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance
- Reinsurance and ruin
- Dependence of the optimal risk control decisions on the terminal value for a financial corporation
Cited In (4)
- The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance
- Optimal proportional reinsurance for controlled risk process which is perturbed by diffusions
- Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
- Optimal proportional reinsurance policies for stochastic models
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