Approximation of Optimal Reinsurance and Dividend Payout Policies

DOI10.1111/J.0960-1627.2004.00183.XzbMATH Open1097.91052OpenAlexW3122618443MaRDI QIDQ4464015FDOQ4464015

Authors: Nicole Bäuerle 

Publication date: 27 May 2004

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00183.x

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zbMATH Keywords

diffusion processHamilton-Jacobi-Bellman equationproportional reinsuranceasymptotic optimalitypiecewise deterministic processdividend payout

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Cites Work

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Cited In (25)

• Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility
• Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
• Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy
• Discounted probability of exponential Parisian ruin: diffusion approximation
• Optimal insurance risk control with multiple reinsurers
• OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
• Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity
• Optimal Ratcheting of Dividends in a Brownian Risk Model
• Dividend maximization under consideration of the time value of ruin
• Asymptotic behavior of the processes describing some insurance models
• Optimal reinsurance and dividend strategies with capital injections in Cramér-Lundberg approximation model
• Strategies for dividend distribution: a review
• Stochastic differential game strategies in the presence of reinsurance and dividend payout
• Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
• Diffusion approximations for insurance risk processes
• Dividend optimization for general diffusions with restricted dividend payment rates
• Dividend optimization for regime-switching general diffusions
• Optimal dividend and capital injection strategies in the Cramér-Lundberg risk model
• Diffusive limit approximation of pure-jump optimal stochastic control problems
• Diffusion approximation of a risk model with non-stationary Hawkes arrivals of claims
• Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation
• Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
• Optimal dividend problem: asymptotic analysis
• Optimal dividend-payout in random discrete time
• Optimal reinsurance design under solvency constraints

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