Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
From MaRDI portal
Publication:3064017
DOI10.1080/14697680902968005zbMath1208.91060OpenAlexW2008613519MaRDI QIDQ3064017
Lihua Bai, Hua-Yue Zhang, Jun-Yi Guo
Publication date: 20 December 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680902968005
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50)
Related Items (17)
Optimal insurance risk control with multiple reinsurers ⋮ Optimal dividend and reinsurance in the presence of two reinsurers ⋮ OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE ⋮ Optimal dividends and reinsurance with capital injection under thinning dependence ⋮ Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework ⋮ Dividends and reinsurance under a penalty for ruin ⋮ Optimal reinsurance and dividend under model uncertainty ⋮ Optimal dividend and risk control strategies for an insurer with two groups of reinsurers ⋮ Optimal dividend and investment problems under Sparre Andersen model ⋮ Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle ⋮ Optimal dividend problem with a nonlinear regular-singular stochastic control ⋮ Optimal dividend and capital injection strategy with excess-of-loss reinsurance and transaction costs ⋮ Optimal risk control and dividend strategies in the presence of two reinsurers: variance premium principle ⋮ Optimal dividend and equity issuance problem with proportional and fixed transaction costs ⋮ Optimal dividend and risk control policies in the presence of a fixed transaction cost ⋮ Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
Cites Work
- Controlled diffusion models for optimal dividend pay-out
- Optimal choice of dividend barriers for a risk process with stochastic return on investments
- Optimal dividend payouts for diffusions with solvency constraints
- Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
- A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
- Optimization of the flow of dividends
- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
- Optimal risk control for a large corporation in the presence of returns on investments
This page was built for publication: Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
