Optimal risk and dividend control of an insurance company with exponential premium principle and liquidation value

DOI10.1080/17442508.2016.1163362MaRDI QIDQ2833708zbMATH OpenOpenAlexFDO

Authors Gongpin Cheng, Rongming Wang, Kun Fan

Publication date 25 November 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2016.1163362

zbMATH Keywords

transaction costsreinsurancedividendcapital injectionexponential premium principleliquidation value

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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• Dynamic risk-sharing game and reinsurance contract design
• Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer
• Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle
• Optimal dividend and risk control strategies for an insurer with two groups of reinsurers

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