OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL

DOI10.1111/j.0960-1627.2005.00220.xzbMath1136.91016OpenAlexW3121243437MaRDI QIDQ3370589

Nora Muler, Pablo Azcue

Publication date: 8 February 2006

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00220.x

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutioninsurancereinsurancedynamic programming principlerisk controldividend payoutsCramér-Lundberg process

Mathematics Subject Classification ID

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Cites Work

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• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• 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 risk control and dividend policies under excess of loss reinsurance
• 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

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