Optimal reinsurance approach with barrier dividend under the dynamic VaR constraint

zbMATH Open1374.91050MaRDI QIDQ2987293FDOQ2987293

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

Publication date: 17 May 2017

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zbMATH Keywords

diffusion processHJB equationreinsuranceKuhn-Tucker conditionbarrier dividend strategydynamic VaR constraint

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90)

Cited In (6)

• Optimal proportional reinsurance with constant dividend barrier
• Barrier present value maximization for a diffusion model of insurance surplus
• Optimal reinsurance under dynamic VaR constraint
• Optimal approach for insurance company with threshold dividend strategy under dynamic VaR constraint
• Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate
• Solution of Hamilton-Jacobi-Bellman equation in optimal reinsurance strategy under dynamic VaR constraint

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