Optimal dividends with debts and nonlinear insurance risk processes
From MaRDI portal
Publication:2445995
DOI10.1016/j.insmatheco.2013.04.008zbMath1284.91564MaRDI QIDQ2445995
Tak Kuen Siu, Hui Meng, Hailiang Yang
Publication date: 15 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/198098
closed-form solution; HJB equation; transaction costs; optimal dividend; internal competition factors; nonlinear risk processes; regular-impulse control
49L20: Dynamic programming in optimal control and differential games
91G80: Financial applications of other theories
91G50: Corporate finance (dividends, real options, etc.)
Related Items
Optimal investment and premium control for insurers with ambiguity, Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching, OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES, Optimal insurance risk control with multiple reinsurers, Optimal debt ratio and dividend payment strategies with reinsurance, Optimal size of business and dividend strategy in a nonlinear model with refinancing and liquidation value, Optimal investment and premium control in a nonlinear diffusion model, Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency, Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models, Robust optimal investment and reinsurance of an insurer under jump-diffusion models, A reinsurance game between two insurance companies with nonlinear risk processes, Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints, A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Impulse control of proportional reinsurance with constraints
- Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
- Optimal risk and dividend control for a company with a debt liability
- Controlled diffusion models for optimal dividend pay-out
- Optimal dynamic reinsurance policies for large insurance portfolios
- On minimizing the ruin probability by investment and reinsurance
- Optimal control of risk exposure, reinsurance and investments for insurance portfolios
- Optimal risk and dividend distribution control models for an insurance company
- A constrained non-linear regular-singular stochastic control problem, with applications.
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance
- Excess-of-loss reinsurance under taxes and fixed costs
- Some risk management problems for firms with internal competition and debt
- Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes
- On the Optimal Stochastic Impulse Control of Linear Diffusions
- A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
- Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
- Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
- On the Time Value of Ruin