Optimal financing and dividend control of the insurance company with excess-of-loss reinsurance policy

DOI10.1016/j.spl.2013.09.034zbMath1284.91252MaRDI QIDQ2444386

Wei Liu, Hu, Yijun

Publication date: 9 April 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.09.034

zbMATH Keywords

optimal strategy; excess-of-loss reinsurance; HJB equation; dividend; equity issuance

Mathematics Subject Classification ID

90C39: Dynamic programming

93E20: Optimal stochastic control

Related Items

OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE, Review of statistical actuarial risk modelling, Optimal reinsurance and dividends with transaction costs and taxes under thinning structure, Stochastic optimal control on dividend policies with bankruptcy, Optimal impulse dividend and capital injection model with proportional and fixed transaction costs, Optimal dividend and capital injection strategy with excess-of-loss reinsurance and transaction costs, Optimal risk control and dividend strategies in the presence of two reinsurers: variance premium principle

Cites Work

• Optimal dividend and issuance of equity policies in the presence of proportional costs
• Optimal financing and dividend control of the insurance company with proportional reinsurance policy
• Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
• Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance
• Optimal Financing of a Corporation Subject To Random Returns
• Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
• Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Optimal risk control for a large corporation in the presence of returns on investments