Optimal proportional reinsurance and dividend payments with transaction costs and internal competition

DOI10.1007/S11766-016-3281-7MaRDI QIDQ320607zbMATH OpenOpenAlexFDO

Authors Wei Liu, Yijun Hu

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

zbMATH Keywords

proportional reinsurancequasi-variational inequalitytransaction costsdividendinternal competition

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• A constrained non-linear regular-singular stochastic control problem, with applications.
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
• Controlled diffusion models for optimal dividend pay-out
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Optimal dividend payouts for diffusions with solvency constraints
• Optimal risk and dividend control for a company with a debt liability
• Optimal risk and dividend distribution control models for an insurance company
• 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
• Some risk management problems for firms with internal competition and debt
• Stochastic differential equations with reflecting boundary conditions

Cited in

(6)

• Some risk management problems for firms with internal competition and debt
• Optimal proportional reinsurance with constant dividend barrier
• The optimal policy for insurance company under consideration of internal competition and the time value of ruin
• Stochastic differential game strategies in the presence of reinsurance and dividend payout
• Optimal risk management for enterprises with internal competition
• Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes

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