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

DOI10.1007/S11766-016-3281-7zbMATH Open1363.91039OpenAlexW2359750547MaRDI QIDQ320607FDOQ320607

Yijun Hu, Wei Liu

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

Recommendations

• The optimal policy for insurance company under consideration of internal competition and the time value of ruin
• Optimal reinsurance-investment and dividends problem with fixed transaction costs
• Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
• Optimal dividend and reinsurance in the presence of two reinsurers
• Optimal dividend and equity issuance problem with proportional and fixed transaction costs

zbMATH Keywords

proportional reinsurancequasi-variational inequalitytransaction costsdividendinternal competition

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

• Controlled diffusion models for optimal dividend pay-out
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Stochastic differential equations with reflecting boundary conditions
• Title not available (Why is that?)
• Optimal risk control for a large corporation in the presence of returns on investments
• Title not available (Why is that?)
• 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 risk and dividend distribution control models for an insurance company
• A constrained non-linear regular-singular stochastic control problem, with applications.
• Optimal risk and dividend control for a company with a debt liability
• Optimal dividend payouts for diffusions with solvency constraints
• Some risk management problems for firms with internal competition and debt

Cited In (5)

• Some risk management problems for firms with internal competition and debt
• Optimal proportional reinsurance with constant dividend barrier
• 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

This page was built for publication: Optimal proportional reinsurance and dividend payments with transaction costs and internal competition

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q320607)