OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
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Cites work
- Controlled diffusion models for optimal dividend pay-out
- Controlling risk exposure and dividends payout schemes: Insurance company example
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 3563431 (Why is no real title available?)
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Optimal Control with State-Space Constraint I
- Optimal Control with State-Space Constraint. II
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
- Optimal risk control and dividend policies under excess of loss reinsurance
Cited in
(only showing first 100 items - show all)- Optimal payout policy in presence of downside risk
- On the optimal dividend problem in the dual model with surplus-dependent premiums
- Optimal investment and consumption for an insurer with high-watermark performance fee
- Optimal dividend and capital injection strategies in the Cramér-Lundberg risk model
- Solution to HJB equations with an elliptic integro-differential operator and gradient constraint
- Complete discounted cash flow valuation
- Optimal dividend and investment problems under Sparre Andersen model
- A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
- Dynamic proportional reinsurance and approximations for ruin probabilities in the two-dimensional compound Poisson risk model
- Optimal dividend policies with transaction costs for a class of jump-diffusion processes
- Optimal reinsurance and dividend strategies with capital injections in Cramér-Lundberg approximation model
- Optimizing insurance and reinsurance in the dynamic Cramér-Lundberg model
- Optimal mean-variance reinsurance in a financial market with stochastic rate of return
- Optimal dividend strategies with time-inconsistent preferences
- An optimal reinsurance problem in the Cramér-Lundberg model
- Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
- Optimal dividend problem with a terminal value for spectrally positive Lévy processes
- Ruin probability in models with stochastic premiums
- A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme
- Optimal dividend strategies in a renewal risk model with phase-type distributed interclaim times
- Optimal dividend and proportional reinsurance strategy under standard deviation premium principle
- The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model
- Optimal dividend-penalty strategies for insurance risk models with surplus-dependent premiums
- Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects
- Optimal dividend strategy under Parisian ruin with affine penalty
- Dividend and capital injection optimization with transaction cost for Lévy risk processes
- Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate
- Optimising dividends and consumption under an exponential CIR as a discount factor
- Optimal dividend of compound Poisson process under a stochastic interest rate
- Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
- Stochastic differential reinsurance games with capital injections
- Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
- Optimal singular dividend problem under the Sparre Andersen model
- On a dividend problem with random funding
- Optimal dividends with an affine penalty
- Optimal dividend payments for a two-dimensional insurance risk process
- Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
- On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
- Optimal dividend-equity issuance strategy in a dual model with fixed and proportional transaction costs
- Worst-case-optimal dynamic reinsurance for large claims
- Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
- Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model
- On taxed spectrally negative Lévy processes with draw-down stopping
- Minimizing expected time to reach a given capital level before ruin
- Reinsurance contract design when the insurer is ambiguity-averse
- Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model
- Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes
- Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates
- On the optimal dividend problem for a spectrally negative Lévy process
- Optimal dividend-distribution strategy under ambiguity aversion
- Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information
- Stochastic differential game strategies in the presence of reinsurance and dividend payout
- Tax optimization with a terminal value for the Lévy risk processes
- Equilibrium dividend strategy with non-exponential discounting in a dual model
- On the optimal dividend problem for insurance risk models with surplus-dependent premiums
- Optimal dividend control for a generalized risk model with investment incomes and debit interest
- Optimal control problem for an insurance surplus model with debt liability
- Impulse stochastic control for the optimization of the dividend payments of the compound Poisson risk model perturbed by diffusion
- Optimal threshold dividend strategies under the compound Poisson model with regime switching
- Optimal financing and dividend policy with Markovian switching regimes
- The optimal dividend and reinsurance problems of an insurance company in a Gamma process model
- De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
- Minimisation of penalty payments by investments and reinsurance
- Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model
- Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes
- Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest
- Optimal dividend-payout in random discrete time
- Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model
- Double optimal stopping of a risk process
- Optimal dividend payment and regime switching in a compound Poisson risk model
- An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
- Maximizing Dividends without Bankruptcy
- Optimal Dividends in the Dual Model with Diffusion
- Optimal Dividend Payouts Under Jump-Diffusion Risk Processes
- Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
- Optimal reinsurance problems with extrapolative claim expectation
- Optimal reinsurance: minimize the expected time to reach a goal
- A note on optimal expected utility of dividend payments with proportional reinsurance
- Shareholder risk measures
- General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes
- Optimal dividend payout for classical risk model with risk constraint
- Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
- Bayesian dividend optimization and finite time ruin probabilities
- Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
- Optimal dividend problem: asymptotic analysis
- Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
- A risk model with multilayer dividend strategy
- Optimal investment and dividend strategy under renewal risk model
- Strategies for dividend distribution: a review
- The Erlang(n) risk model with two-sided jumps and a constant dividend barrier
- Minimizing ruin probability under the Sparre Anderson model
- Modeling and asymptotic analysis of insurance company performance
- A perturbation approach to optimal investment, liability ratio, and dividend strategies
- Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility
- Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process
- TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
- Minimizing the discounted probability of exponential Parisian ruin via reinsurance
- On the central management of risk networks
- Optimal dividend strategies for two collaborating insurance companies
- On optimal dividends in the dual model
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