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

DOI10.1007/s11766-016-3281-7zbMath1363.91039MaRDI QIDQ320607

Wei Liu, Hu, Yijun

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

transaction costs; proportional reinsurance; quasi-variational inequality; dividend; internal competition

Mathematics Subject Classification ID

93E20: Optimal stochastic control

Related Items

Stochastic differential game strategies in the presence of reinsurance and dividend payout

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