Optimal dividend and reinsurance in the presence of two reinsurers
DOI10.1017/JPR.2016.20zbMATH Open1344.49028OpenAlexW2307160619MaRDI QIDQ3188587FDOQ3188587
Authors: Mi Chen, Kam Chuen Yuen 
Publication date: 11 August 2016
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1466172874
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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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- Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
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Cited In (17)
- 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 reinsurance under a new design: two layers and multiple reinsurers
- Optimal insurance risk control with 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 excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
- Optimal dividend payments for a two-dimensional insurance risk process
- Optimal risk control and dividend strategies in the presence of two reinsurers: variance premium principle
- Optimal reinsurance and dividend under model uncertainty
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