Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs

DOI10.1080/03461230110106291MaRDI QIDQ4455897zbMATH OpenOpenAlexFDO

Authors Bjarne Højgaard

Publication date 16 March 2004

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461230110106291

zbMATH Keywords

barrier strategyBellman equationDe Vylder approximationnon-life insurancedynamic premium controlmaximizing dividend pay-outs

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• Aspects of risk theory
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Optimal proportional reinsurance policies for diffusion models
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

Cited in

(29)

• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• Optimal control of investment, premium and deductible for a non-life insurance company
• Optimal Premium Control in a Non-life Insurance Business
• Lévy risk model with two-sided jumps and a barrier dividend strategy
• Portfolio size as function of the premium: modelling and optimization
• Optimal investment and reinsurance with premium control
• Review of statistical actuarial risk modelling
• Methods for estimating the optimal dividend barrier and the probability of ruin
• Optimal control of risk exposure, reinsurance and investments for insurance portfolios
• Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process
• On a class of renewal risk models with a constant dividend barrier
• A risk model with paying dividends and random environment
• The Compound Poisson Risk Model with Interest and a Threshold Strategy
• Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
• Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
• Optimisation in Non-Life Insurance
• Spectral decomposition of optimal asset-liability management
• Moments of the dividend payments and related problems in a Markov-modulated risk model
• Strategies for dividend distribution: a review
• Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints
• Optimal Dividends
• The compound Poisson risk model with a threshold dividend strategy
• On barrier strategy dividends with Parisian implementation delay for classical surplus processes
• Pension funding problem with regime-switching geometric Brownian motion assets and liabilities
• The expected time to ruin in a risk process with constant barrier via martingales
• Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
• Optimal investment and premium control for insurers with ambiguity
• Optimal investment and premium control in a nonlinear diffusion model
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.

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