Optimal investment and reinsurance under the influence of threshold dividend

DOI10.13482/J.ISSN1001-7011.2018.05.218MaRDI QIDQ3307990zbMATH OpenFDO

Authors Xuefang Zhang, Yansheng Jin

Publication date 12 August 2020

Full work available at URL https://doi.org/10.13482/J.ISSN1001-7011.2018.05.218

zbMATH Keywords

diffusion approximationdividendjump diffusion modeloptimal investmentreinsurance

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Jump processes on discrete state spaces (60J74) Actuarial mathematics (91G05) Optimal stochastic control (93E20)

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Cited in

(9)

• The optimal investment, liability and dividends in insurance
• Optimal control with restrictions for a diffusion risk model under constant interest force
• Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps
• Optimal investment-reinsurance-hybrid dividend strategies for insurance company under compound Poisson-geometric risk process
• Optimal dividend problem with the influence of dividend payouts on insurance business
• Optimal dividend and reinsurance under threshold strategy
• Stochastic differential investment-reinsurance games with capital injection-barrier dividend
• Stochastic differential investment-reinsurance games with capital injection-threshold dividend
• Calculating optimal dividend payment, reinsurance, and investment strategies in a diffusion model

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