Optimal dividend and reinsurance in the presence of two reinsurers
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Publication:3188587
stochastic differential equationBrownian motionoptimal dividendtransaction costsreinsuranceexponential premium principle
Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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Cites work
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- An example of indifference prices under exponential preferences
- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- Controlled Markov processes and viscosity solutions
- Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
- On minimizing the ruin probability by investment and reinsurance
- Optimal dividend and equity issuance problem with proportional and fixed transaction costs
- Optimal dividend and issuance of equity policies in the presence of proportional costs
- Optimal dividend problem with a nonlinear regular-singular stochastic control
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs
- Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
- Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
- Optimal financing and dividend control of the insurance company with proportional reinsurance policy
- Optimal insurance under Wang's premium principle.
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- Optimal reinsurance arrangements in the presence of two reinsurers
- Optimal reinsurance under convex principles of premium calculation
- Optimal reinsurance under mean-variance premium principles
- Optimal risk transfer under quantile-based risk measurers
- Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
- Pricing equity-linked pure endowments via the principle of equivalent utility.
- Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
Cited in
(17)- Optimal reinsurance and dividend under model uncertainty
- Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
- On a discrete Markov-modulated risk model with random premium income and delayed claims
- Optimal proportional reinsurance with constant dividend barrier
- Optimal impulse control with variance premium principle
- Optimal insurance risk control with multiple reinsurers
- Optimal reinsurance under a new design: two layers and multiple reinsurers
- OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
- Optimal proportional reinsurance and dividend payments with transaction costs and internal competition
- Optimal dividend and risk control policies in the presence of a fixed transaction cost
- Randomized dividends in a discrete risk model with time-correlated claims
- Optimal dividend problem with a nonlinear regular-singular stochastic control
- Multiple per-claim reinsurance based on maximizing the Lundberg exponent
- Optimal dividend and risk control strategies for an insurer with two groups of reinsurers
- Optimal dividend payments for a two-dimensional insurance risk process
- Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
- Optimal risk control and dividend strategies in the presence of two reinsurers: variance premium principle
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