Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes

DOI10.1080/14697680902968005zbMath1208.91060MaRDI QIDQ3064017

Lihua Bai, Jun-Yi Guo, Hua-Yue Zhang

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

zbMATH Keywords

dynamic programming; stochastic processes; transaction costs; optimal policies; insurance mathematics

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

91G50: Corporate finance (dividends, real options, etc.)

Related Items

OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE, Optimal insurance risk control with multiple reinsurers, Dividends and reinsurance under a penalty for ruin, Optimal dividend and investment problems under Sparre Andersen model, 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 problem with a nonlinear regular-singular stochastic control, Optimal dividend and equity issuance problem with proportional and fixed transaction costs, Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle, Optimal dividend and reinsurance in the presence of two reinsurers

Cites Work

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