Optimal control with restrictions for a diffusion risk model under constant interest force
From MaRDI portal
Publication:253085
DOI10.1007/s00245-015-9295-3zbMath1334.91041OpenAlexW1996766688MaRDI QIDQ253085
Xiaofan Peng, Lihua Bai, Jun-Yi Guo
Publication date: 8 March 2016
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-015-9295-3
Related Items
A dividend optimization problem with constraint of survival probability in a Markovian environment model ⋮ On a discrete Markov-modulated risk model with random premium income and delayed claims ⋮ Optimal investment and reinsurance with premium control ⋮ Unnamed Item ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
Cites Work
- Optimal dividend strategies for a risk process under force of interest
- On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
- Optimal investment policy and dividend payment strategy in an insurance company
- Optimal dividends in the Brownian motion risk model with interest
- Empirical bounds for ruin probabilities
- Controlled diffusion models for optimal dividend pay-out
- Optimal choice of dividend barriers for a risk process with stochastic return on investments
- Optimal dynamic reinsurance policies for large insurance portfolios
- Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates
- On the optimal dividend problem for a spectrally negative Lévy process
- Controlled Markov processes and viscosity solutions
- Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
- Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
- Optimization of the flow of dividends
- On Optimal Dividend Strategies In The Compound Poisson Model
- Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
- Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes
- Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1
- Optimal risk control for a large corporation in the presence of returns on investments