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

DOI10.1111/J.0960-1627.2005.00220.XzbMATH Open1136.91016OpenAlexW3121243437MaRDI QIDQ3370589FDOQ3370589

Authors: Pablo Azcue, Nora Muler 

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20) General theory of stochastic processes (60G07)

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• Optimal risk control and dividend policies under excess of loss reinsurance

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