Optimal dividends with debts and nonlinear insurance risk processes
From MaRDI portal
Publication:2445995
DOI10.1016/J.INSMATHECO.2013.04.008zbMATH Open1284.91564OpenAlexW2030012745MaRDI QIDQ2445995FDOQ2445995
Authors: Hui Meng, Tak Kuen Siu, 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
Recommendations
- Optimal dividend and risk control strategies in a nonlinear model
- Optimal dividend problem with a nonlinear regular-singular stochastic control
- Optimal Dividend Payouts Under Jump-Diffusion Risk Processes
- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- Optimal dividends for regulated insurers with a nonlinear penalty
closed-form solutionHJB equationoptimal dividendtransaction costsinternal competition factorsnonlinear risk processesregular-impulse control
Corporate finance (dividends, real options, etc.) (91G50) Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80)
Cites Work
- Controlled diffusion models for optimal dividend pay-out
- Optimal dynamic reinsurance policies for large insurance portfolios
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Title not available (Why is that?)
- Title not available (Why is that?)
- Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
- Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
- Title not available (Why is that?)
- Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
- On the Time Value of Ruin
- Optimal mixed impulse-equity insurance control problem with reinsurance
- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- Impulse control of proportional reinsurance with constraints
- A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
- On minimizing the ruin probability by investment and reinsurance
- Optimal risk and dividend distribution control models for an insurance company
- A constrained non-linear regular-singular stochastic control problem, with applications.
- Title not available (Why is that?)
- Optimal risk and dividend control for a company with a debt liability
- Optimal control of risk exposure, reinsurance and investments for insurance portfolios
- Some risk management problems for firms with internal competition and debt
- On the Optimal Stochastic Impulse Control of Linear Diffusions
- Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
- Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes
- Excess-of-loss reinsurance under taxes and fixed costs
Cited In (19)
- De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
- Robust optimal investment and reinsurance of an insurer under jump-diffusion models
- Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
- Optimal investment and premium control in a nonlinear diffusion model
- Optimal insurance risk control with multiple reinsurers
- OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
- Optimal size of business and dividend strategy in a nonlinear model with refinancing and liquidation value
- Optimal investment and premium control for insurers with ambiguity
- Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching
- A reinsurance game between two insurance companies with nonlinear risk processes
- A maximum principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems
- Optimal dividend and risk control strategies in a nonlinear model
- Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model
- Optimal debt ratio and dividend payment strategies with reinsurance
- Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
- Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models
- Optimal dividends for regulated insurers with a nonlinear penalty
- Optimal dividend payments for a two-dimensional insurance risk process
- Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency
This page was built for publication: Optimal dividends with debts and nonlinear insurance risk processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2445995)
