The optimal policy for insurance company under consideration of internal competition and the time value of ruin

DOI10.1007/S10255-014-0422-8zbMATH Open1303.91092OpenAlexW936593048MaRDI QIDQ477513FDOQ477513

Authors: Wei Liu, Yijun Hu 

Publication date: 9 December 2014

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-014-0422-8

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zbMATH Keywords

proportional reinsurancedividend paymentinternal competitionHamilton-Jacobi-Bellman (HJB) equation

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20)

Cites Work

• Controlled diffusion models for optimal dividend pay-out
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Stochastic differential equations with reflecting boundary conditions
• Title not available (Why is that?)
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• Optimal risk and dividend distribution control models for an insurance company
• A constrained non-linear regular-singular stochastic control problem, with applications.
• Optimal risk and dividend control for a company with a debt liability
• Some risk management problems for firms with internal competition and debt
• Dividend maximization under consideration of the time value of ruin

Cited In (3)

• Optimal proportional reinsurance and dividend payments with transaction costs and internal competition
• Maximizing the expected time to ruin for a company operating N distinct funds with a 'superclaims' process
• Optimal risk management for enterprises with internal competition

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