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

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)

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Cited in

(25)

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

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