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

DOI10.1080/14697680902968005zbMATH Open1208.91060OpenAlexW2008613519MaRDI QIDQ3064017FDOQ3064017

Authors: Lihua Bai, Junyi Guo, Huayue 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

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zbMATH Keywords

dynamic programmingstochastic processestransaction costsoptimal policiesinsurance mathematics

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Cites Work

• Controlled diffusion models for optimal dividend pay-out
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Optimization of the flow of dividends
• Optimal risk control for a large corporation in the presence of returns on investments
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• Optimal dividend payouts for diffusions with solvency constraints

Cited In (24)

• Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
• Dividends and reinsurance under a penalty for ruin
• Optimal financing and dividend control of the insurance company with excess-of-loss reinsurance policy
• Optimal reinsurance under a new design: two layers and multiple reinsurers
• Optimal insurance risk control with multiple reinsurers
• Excess-of-loss reinsurance under taxes and fixed costs
• Optimal dividends and reinsurance with capital injection under thinning dependence
• Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle
• Tax- and expense-modified risk-minimization for insurance payment processes
• Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching
• Optimal proportional reinsurance and dividend payments with transaction costs and internal competition
• Optimal dividend and reinsurance strategies with financing and liquidation value
• Optimal dividend and risk control policies in the presence of a fixed transaction cost
• Optimal dividend problem with a nonlinear regular-singular stochastic control
• Optimal dividend and equity issuance problem with proportional and fixed transaction costs
• Optimal dividend and reinsurance in the presence of two reinsurers
• Optimal dividend and risk control strategies for an insurer with two groups of reinsurers
• Optimal dividend and investment problems under Sparre Andersen model
• Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes
• Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle
• 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 reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
• Optimal reinsurance and dividend under model uncertainty

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