OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
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Cites work
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 3563431 (Why is no real title available?)
- Controlled diffusion models for optimal dividend pay-out
- Controlling risk exposure and dividends payout schemes: Insurance company example
- Optimal Control with State-Space Constraint I
- Optimal Control with State-Space Constraint. II
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- 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)- Impulse stochastic control for the optimization of the dividend payments of the compound Poisson risk model perturbed by diffusion
- Optimal singular dividend problem under the Sparre Andersen model
- An optimal multibarrier strategy for a singular stochastic control problem with a state-dependent reward
- Minimizing expected time to reach a given capital level before ruin
- Optimal dividend strategy under Parisian ruin with affine penalty
- A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme
- Optimal dividend of compound Poisson process under a stochastic interest rate
- On the central management of risk networks
- Optimal dividend strategies in a renewal risk model with phase-type distributed interclaim times
- Optimal financing and dividend policy with Markovian switching regimes
- Optimal dividend-distribution strategy under ambiguity aversion
- Optimal reinsurance and dividend strategies with capital injections in Cramér-Lundberg approximation model
- On the optimal dividend problem in the dual model with surplus-dependent premiums
- Optimal payout strategies when Bruno de Finetti meets model uncertainty
- Optimal dividends with an affine penalty
- Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate
- Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. II: Numerical aspects
- Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process
- Optimal mean-variance reinsurance in a financial market with stochastic rate of return
- Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
- Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes
- Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
- Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects
- Optimal dividend and stopping problems for two-dimensional compound poisson risk model
- TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
- The optimal dividend and reinsurance problems of an insurance company in a Gamma process model
- Optimal dividend-penalty strategies for insurance risk models with surplus-dependent premiums
- Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model
- Complete discounted cash flow valuation
- Optimal ratcheting of dividend payout under Brownian motion surplus
- Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
- Optimal dividends for regulated insurers with a nonlinear penalty
- Optimal reinsurance: minimize the expected time to reach a goal
- Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model
- Stochastic differential reinsurance games with capital injections
- Stochastic differential game strategies in the presence of reinsurance and dividend payout
- Optimal singular dividend control with capital injection and affine penalty payment at ruin
- Measuring the suboptimality of dividend controls in a Brownian risk model
- A perturbation approach to optimal investment, liability ratio, and dividend strategies
- Optimal dividend strategies for a catastrophe insurer
- Optimal dividend problem: asymptotic analysis
- The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model
- On a dividend problem with random funding
- Optimal investment and dividend strategy under renewal risk model
- Reinsurance contract design when the insurer is ambiguity-averse
- Shareholder risk measures
- Optimal control problem for an insurance surplus model with debt liability
- Dividend and capital injection optimization with transaction cost for Lévy risk processes
- Optimal dividend policies with transaction costs for a class of jump-diffusion processes
- Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms
- Optimal investment and consumption for an insurer with high-watermark performance fee
- Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences
- Optimising dividends and consumption under an exponential CIR as a discount factor
- Dynamic proportional reinsurance and approximations for ruin probabilities in the two-dimensional compound Poisson risk model
- Solution to HJB equations with an elliptic integro-differential operator and gradient constraint
- Optimal dividend and investment problems under Sparre Andersen model
- Robust optimal reinsurance-investment strategy with extrapolative bias premiums and ambiguity aversion
- An optimal reinsurance problem in the Cramér-Lundberg model
- Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility
- General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes
- Optimal dividend and capital injection strategies in the Cramér-Lundberg risk model
- Optimal payout policy in presence of downside risk
- Equilibrium dividend strategy with non-exponential discounting in a dual model
- On the optimal dividend problem for insurance risk models with surplus-dependent premiums
- Optimality of the threshold dividend strategy for the compound Poisson model
- A risk model with multilayer dividend strategy
- Minimizing ruin probability under the Sparre Anderson model
- On optimality of the barrier strategy for a general Lévy risk process
- A note on optimal expected utility of dividend payments with proportional reinsurance
- Worst-case-optimal dynamic reinsurance for large claims
- Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
- Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
- Optimal threshold dividend strategies under the compound Poisson model with regime switching
- Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
- Optimal dividend policy in an insurance company with contagious arrivals of claims
- Optimal dividend strategy for the dual model with surplus-dependent expense
- Bayesian dividend optimization and finite time ruin probabilities
- On taxed spectrally negative Lévy processes with draw-down stopping
- Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
- De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
- Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
- Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates
- Optimal dividend payment and regime switching in a compound Poisson risk model
- Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest
- Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
- Optimal dividend strategies for two collaborating insurance companies
- Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest
- Optimal control of capital injections by reinsurance in a diffusion approximation
- Convexity and smoothness of scale functions and de Finetti's control problem
- Double optimal stopping of a risk process
- Optimal dividend-payout in random discrete time
- Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
- A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
- On the optimal dividend problem for a spectrally negative Lévy process
- Optimal Dividends in the Dual Model with Diffusion
- Dividend maximization under consideration of the time value of ruin
- Optimal Dividend Payouts Under Jump-Diffusion Risk Processes
- Optimal dividend strategies for a risk process under force of interest
- Ruin probability in models with stochastic premiums
- An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
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