OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
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Publication:3370589
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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Hamilton-Jacobi-Bellman equationviscosity solutioninsurancereinsurancedynamic programming principlerisk controldividend payoutsCramér-Lundberg process
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)
Cites Work
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- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
- Title not available (Why is that?)
- Optimal Control with State-Space Constraint. II
- Optimal risk control and dividend policies under excess of loss reinsurance
Cited In (only showing first 100 items - show all)
- Optimal Dividend Payment and Regime Switching in a Compound Poisson Risk Model
- De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
- Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest
- Optimal Dividend Payouts Under Jump-Diffusion Risk Processes
- Tax optimization with a terminal value for the Lévy risk processes
- Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
- Modeling and asymptotic analysis of insurance company performance
- Optimal dividend problem with a terminal value for spectrally positive Lévy processes
- Optimal dividend policy in an insurance company with contagious arrivals of claims
- Equilibrium dividend strategy with non-exponential discounting in a dual model
- On the optimal dividend problem for insurance risk models with surplus-dependent premiums
- On taxed spectrally negative Lévy processes with draw-down stopping
- Strategies for Dividend Distribution: A Review
- Optimal dividend strategies for a risk process under force of interest
- Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs
- Optimal investment policy and dividend payment strategy in an insurance company
- De Finetti's optimal dividends problem with an affine penalty function at ruin
- Convexity and smoothness of scale functions and de Finetti's control problem
- The Erlang(n) risk model with two-sided jumps and a constant dividend barrier
- Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
- Optimal dividend strategy for the dual model with surplus-dependent expense
- A Risk Model with Multilayer Dividend Strategy
- Optimal control of capital injections by reinsurance in a diffusion approximation
- On the optimal dividend problem for a spectrally negative Lévy process
- On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
- A note on optimal expected utility of dividend payments with proportional reinsurance
- Worst-case-optimal dynamic reinsurance for large claims
- Dividend maximization under consideration of the time value of ruin
- Minimisation of penalty payments by investments and reinsurance
- On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
- An optimal dividends problem with transaction costs for spectrally negative Lévy processes
- Minimizing ruin probability under the Sparre Anderson model
- Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information
- Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model
- On optimal control of capital injections by reinsurance and investments
- On optimal dividends in the dual model
- Optimal dividend control for a generalized risk model with investment incomes and debit interest
- Optimal reinsurance problems with extrapolative claim expectation
- Optimal dividend strategies with time-inconsistent preferences
- Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates
- Optimal dividend and proportional reinsurance strategy under standard deviation premium principle
- Optimal dividend payments under a time of ruin constraint: exponential claims
- Optimal dividends under a stochastic interest rate
- Optimal dividend payout for classical risk model with risk constraint
- Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
- Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance
- Optimizing insurance and reinsurance in the dynamic Cramér-Lundberg model
- On optimality of the barrier strategy for the classical risk model with interest
- Optimality of the threshold dividend strategy for the compound Poisson model
- Bayesian dividend optimization and finite time ruin probabilities
- Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
- Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest
- Optimal dividend-equity issuance strategy in a dual model with fixed and proportional transaction costs
- Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model
- Optimal threshold dividend strategies under the compound Poisson model with regime switching
- Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
- Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
- General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes
- Double optimal stopping of a risk process
- Ruin probability in models with stochastic premiums
- Optimal dividend and capital injection strategies in the Cramér-Lundberg risk model
- On optimality of the barrier strategy for a general Lévy risk process
- Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
- Optimal Dividends in the Dual Model with Diffusion
- An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
- Maximizing Dividends without Bankruptcy
- A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
- Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes
- Optimal dividend payments for a two-dimensional insurance risk process
- Optimal payout policy in presence of downside risk
- Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
- Optimal dividend strategies for two collaborating insurance companies
- Optimal dividend-payout in random discrete time
- Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
- Minimizing expected time to reach a given capital level before ruin
- Optimal dividends with an affine penalty
- Optimal mean-variance reinsurance in a financial market with stochastic rate of return
- On a dividend problem with random funding
- Optimising dividends and consumption under an exponential CIR as a discount factor
- Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility
- Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
- Dynamic proportional reinsurance and approximations for ruin probabilities in the two-dimensional compound Poisson risk model
- Optimal financing and dividend policy with Markovian switching regimes
- TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
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- Optimal dividend strategies for a catastrophe insurer
- Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. II: Numerical aspects
- SHAREHOLDER RISK MEASURES
- A perturbation approach to optimal investment, liability ratio, and dividend strategies
- The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model
- Optimal ratcheting of dividend payout under Brownian motion surplus
- Dividend and capital injection optimization with transaction cost for Lévy risk processes
- Stochastic differential reinsurance games with capital injections
- Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process
- Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model
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