Optimal control with restrictions for a diffusion risk model under constant interest force
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Publication:253085
DOI10.1007/S00245-015-9295-3zbMATH Open1334.91041OpenAlexW1996766688MaRDI QIDQ253085FDOQ253085
Xiaofan Peng, Junyi Guo, Lihua Bai
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
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Cites Work
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- Empirical bounds for ruin probabilities
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- 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
- 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
Cited In (8)
- Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
- Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
- On a discrete Markov-modulated risk model with random premium income and delayed claims
- Optimal investment and premium control in a nonlinear diffusion model
- Title not available (Why is that?)
- Optimal risk control under functionally restricted perturbation
- Optimal investment and reinsurance with premium control
- A dividend optimization problem with constraint of survival probability in a Markovian environment model
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