Optimal risk control policies for diffusion models with non-cheap proportional reinsurance and bankruptcy value

DOI10.1007/S11424-011-9180-3MaRDI QIDQ2392647zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Hamilton-Jacobi-Bellman equationproportional reinsurancediffusion modelsbankruptcy value

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3924501 (Why is no real title available?)
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• Controlled diffusion models for optimal dividend pay-out
• Dependence of the optimal risk control decisions on the terminal value for a financial corporation
• Optimal proportional reinsurance policies for diffusion models
• Optimal proportional reinsurance policies for diffusion models with transaction costs
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Reinsurance and ruin
• The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance

Cited in

(4)

• 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
• The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance
• Optimal proportional reinsurance policies for stochastic models

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