Optimal approach for insurance company with threshold dividend strategy under dynamic VaR constraint

DOI10.11721/CQNUJ20160226MaRDI QIDQ2823729zbMATH OpenFDO

Authors Zongqi Sun, Xuanhui Liu, Yongqiang Ji, Siyuan Chen

Publication date 6 October 2016

Published in Journal of Chongqing Normal University. Natural Science (Search for Journal in Brave)

zbMATH Keywords

HJB equationdiffusion processesthreshold dividend strategydynamic VaR constraintinvestment approachstochastic Lagrange function

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cited in

(4)

• scientific article; zbMATH DE number 6453031 (Why is no real title available?)
• Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump-diffusion model
• Optimal reinsurance approach with barrier dividend under the dynamic VaR constraint
• scientific article; zbMATH DE number 3965294 (Why is no real title available?)

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