Optimal proportional reinsurance and dividend payments with transaction costs and internal competition
From MaRDI portal
Publication:320607
DOI10.1007/s11766-016-3281-7zbMath1363.91039MaRDI QIDQ320607
Publication date: 6 October 2016
Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11766-016-3281-7
transaction costs; proportional reinsurance; quasi-variational inequality; dividend; internal competition
93E20: Optimal stochastic control
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Optimal risk and dividend control for a company with a debt liability
- Controlled diffusion models for optimal dividend pay-out
- Optimal dividend payouts for diffusions with solvency constraints
- Optimal risk and dividend distribution control models for an insurance company
- A constrained non-linear regular-singular stochastic control problem, with applications.
- Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
- Some risk management problems for firms with internal competition and debt
- Stochastic differential equations with reflecting boundary conditions
- A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
- 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