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

zbMATH1488.91094MaRDI QIDQ3380652FDOQ3380652

Authors Peng Yao, Xiao Liu, Zhenlong Chen

Publication date 29 September 2021

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)

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Cited in

(5)

• On optimal dividend strategies in insurance with an random time horizon
• De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
• Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps
• 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

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