On optimal dividend and reinsurance problems in the diffusion risk model with random time horizon

zbMATH Open1488.91094MaRDI QIDQ3380652FDOQ3380652

Authors: Peng Yao, Xiao Liu, Zhenlong Chen 

Publication date: 29 September 2021

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zbMATH Keywords

stochastic controloptimal reinsuranceoptimal dividends

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)

Cited In (5)

• De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
• Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
• Optimal dividend and financing problems for a diffusion model with excess-of-loss reinsurance strategy and terminal value
• On optimal dividend strategies in insurance with an random time horizon
• Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps

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