Optimal control of the insurance company with proportional reinsurance policy under solvency constraints

DOI10.1016/J.INSMATHECO.2008.09.004zbMATH Open1160.91020OpenAlexW2017739019MaRDI QIDQ2518554FDOQ2518554

Authors: Lin He, Ping Hou, Zongxia Liang 

Publication date: 16 January 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.09.004

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zbMATH Keywords

HJB equationproportional reinsuranceoptimal dividend controlsolvency constraintssingular-regular control problem

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Optimal stochastic control (93E20)

Cites Work

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• Optimal financing and dividend control of the insurance company with proportional reinsurance policy

Cited In (24)

• Adaptive method for an actuarial optimal control problem with dynamic constraints
• Time-consistent proportional reinsurance and investment strategies under ambiguous environment
• Optimal impulse and regular control strategies for proportional reinsurance problem
• The control strategy of the optimal shareholder returns considering the reinsurance
• A note on optimal expected utility of dividend payments with proportional reinsurance
• Impulse control of proportional reinsurance with constraints
• A control model for an insurance company
• Singular optimal control models of a proportional reinsurance problem
• Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects
• Dividend optimization for jump-diffusion model with solvency constraints
• Optimal dividends and capital injection under dividend restrictions
• The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance
• Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
• Fiscal stimulus as an optimal control problem
• The optimal policy for insurance company under consideration of internal competition and the time value of ruin
• The optimal strategy for an insurance company under the influence of the terminal value
• Optimal financing and dividend control of the insurance company with proportional reinsurance policy
• Optimal financing and dividend control in the dual model
• Dividend maximization under a set ruin probability target in the presence of proportional and excess-of-loss reinsurance
• Optimal dividend and investing control of an insurance company with higher solvency constraints
• Optimal investment and proportional reinsurance with constrained control variables
• Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate
• A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization
• Optimal control of a big financial company with debt liability under bankrupt probability constraints

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