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

DOI10.11721/CQNUJ20160226zbMATH Open1363.91043MaRDI QIDQ2823729FDOQ2823729

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)

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zbMATH Keywords

HJB equationdiffusion processesthreshold dividend strategydynamic VaR constraintinvestment approachstochastic Lagrange function

Mathematics Subject Classification ID

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

Cited In (4)

• Title not available (Why is that?)
• 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
• Title not available (Why is that?)

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